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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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
Depositing User: Pure Connector
Date Deposited: 04 Dec 2013 13:22
Last Modified: 06 Jan 2023 16:32
DOI: 10.1080/135048599353582

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