Investment strategy evaluation with cointegration

Markellos, Raphael (1999) Investment strategy evaluation with cointegration. Applied Economics Letters, 6 (3). pp. 177-179. ISSN 1350-4851

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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.

Item Type:	Article
Faculty \ School:	Faculty of Social Sciences > Norwich Business School
UEA Research Groups:	Faculty of Social Sciences > Research Groups > Finance Group Faculty of Social Sciences > Research Centres > Centre for Competition Policy
Depositing User:	Pure Connector
Date Deposited:	04 Dec 2013 13:22
Last Modified:	18 Apr 2023 23:48
URI:	https://ueaeprints.uea.ac.uk/id/eprint/45294
DOI:	10.1080/135048599353582

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