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Trading system evaluation based on past performance: Random Signals Test

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Author Info
Alex Strashny (University of California, Irvine)

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Abstract

This paper introduces a new method for evaluating a trading system based on its past performance. The method is a hypothesis test that asks whether the system is making random trades. The test controls for price behavior during the test period and the trade characteristics of the system being tested. A system should be traded only if the null hypothesis of random trading is rejected.

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File URL: http://129.3.20.41/eps/fin/papers/0205/0205003.pdf
File Format: application/pdf
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Publisher Info
Paper provided by EconWPA in its series Finance with number 0205003.

Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Length: 13 pages
Date of creation: 24 May 2002
Date of revision: 10 Jun 2002
Handle: RePEc:wpa:wuwpfi:0205003

Note: Type of Document - pdf; prepared on PC / Word; to print on any; pages: 13; figures: included. 2 figures.
Contact details of provider:
Web page: http://129.3.20.41

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Related research
Keywords: system evaluation; hypothesis testing; trading;

Find related papers by JEL classification:
G1 - Financial Economics - - General Financial Markets
C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Hypothesis Testing

This paper has been announced in the following NEP Reports:

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This page was last updated on 2009-11-17.

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