5 F performance indicator: A robust metric for trading systems evaluation?

Result code in IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F70883521%3A28120%2F12%3A43868468" target="_blank" >RIV/70883521:28120/12:43868468 - isvavai.cz</a>

Result on the web

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DOI - Digital Object Identifier

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Result language

angličtina

Original language name

5 F performance indicator: A robust metric for trading systems evaluation?

Original language description

The article is focused on capital market trading systems evaluation. An aggregate performance index is put forward to ensure a complex measurement of different dimensions of trading system performance. The model is developed in several modifications. Dynamic version of the index is put under particular scrutiny and through logistic regression is compared with three existing performance indicators. Binomial type logistic regression shows the aggregate index has higher accuracy in filtering profitable andunprofitable out-of-sample returns than the three compared indicators.

Czech name

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Czech description

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Type

D - Article in proceedings

CEP classification

AE - Management, administration and clerical work

OECD FORD branch

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Project

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Continuities

V - Vyzkumna aktivita podporovana z jinych verejnych zdroju

Publication year

2012

Confidentiality

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection

Advances in Finance and Accounting

ISBN

978-1-61804-124-1

ISSN

2227-460X

e-ISSN

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Number of pages

6

Pages from-to

92-97

Publisher name

WSEAS Press

Place of publication

Praha

Event location

Zllín

Event date

Sep 20, 2012

Type of event by nationality

WRD - Celosvětová akce

UT code for WoS article

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