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Investment Strategies that Beat the Market. What Can We Squeeze from the Market?

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  • Ślepaczuk Robert

    (Faculty of Economic Sciences, Warsaw University and Union Investment TFI S.A)

  • Sakowski Paweł

    (Faculty of Economic Sciences, Warsaw University)

  • Zakrzewski Grzegorz

    (Department Director of Credit Risk Management for Micro-entrepreneurs, Nest Bank)

Abstract

The paper presents a new approach to optimizing automatic transactional systems. We propose a multi-stage technique which enables us to find investment strategies beating the market. Additionally, new measures of combined risk and returns are applied in the process of optimization. Moreover, we define new elements of a risk control system based on volatility measures and consecutive signal confirmation. As a result, we formulate three complex investment systems which maximize returns and simultaneously minimize risk in comparison to all other alternative investments (IR=2, Maximum Drawdown

Suggested Citation

  • Ślepaczuk Robert & Sakowski Paweł & Zakrzewski Grzegorz, 2018. "Investment Strategies that Beat the Market. What Can We Squeeze from the Market?," Financial Internet Quarterly (formerly e-Finanse), Sciendo, vol. 14(4), pages 36-55, December.
    • Handle: RePEc:vrs:finiqu:v:14:y:2018:i:4:p:36-55:n:8
    DOI: 10.2478/fiqf-2018-0026
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    Cited by:

    1. Jakub Michańków & Paweł Sakowski & Robert Ślepaczuk, 2023. "Hedging Properties of Algorithmic Investment Strategies using Long Short-Term Memory and Time Series models for Equity Indices," Working Papers 2023-25, Faculty of Economic Sciences, University of Warsaw.

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    More about this item

    Keywords

    investment strategies; automatic trading systems; optimization; technical and fundamental analysis; market volatility; efficient risk and return measures; EMH; mutual and hedge funds;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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