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Investment strategy evaluation with cointegration

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  • Raphael Markellos

Abstract

This paper discusses a simple testing procedure based on cointegration that can be used to assess and compare the historical performance of trading systems and investment strategies. The proposed procedure, coined the 'cointegration cumulative profit' test, is applied in evaluating technical analysis-based trading systems on the daily Dow Jones Industrial Average and FT30 indexes, respectively.

Suggested Citation

  • Raphael Markellos, 1999. "Investment strategy evaluation with cointegration," Applied Economics Letters, Taylor & Francis Journals, vol. 6(3), pages 177-179.
    • Handle: RePEc:taf:apeclt:v:6:y:1999:i:3:p:177-179
    DOI: 10.1080/135048599353582
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    References listed on IDEAS

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    1. Brock, William & Lakonishok, Josef & LeBaron, Blake, 1992. "Simple Technical Trading Rules and the Stochastic Properties of Stock Returns," Journal of Finance, American Finance Association, vol. 47(5), pages 1731-1764, December.
    2. Mills, Terence C, 1997. "Technical Analysis and the London Stock Exchange: Testing Trading Rules Using the FT30," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 2(4), pages 319-331, October.
    3. Raphael Markellos & Costas Siriopoulos, 1997. "Diversification benefits in the smaller European stock markets," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 3(2), pages 142-153, May.
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    Cited by:

    1. Raphael Markellos, 2004. "Diversification benefits in trading?," Applied Financial Economics, Taylor & Francis Journals, vol. 14(1), pages 13-17.

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