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You might try this. I use EOD data only so all references are daily.
For each day, calculate future 1, 3, 5, 10, x day returns. Average these. These are your "naive" returns; ie over a given time period, you expect these returns w/o any signal. Note that you'll have to calc log returns so the averages come out properly.
For each signal day, calculate the future 1, 3, 5, 10, x day returns. Average these. Compare these returns to the "naive" returns. If significantly different (better), you can say with some degree of certainty that your signals have some degree of predictive ability. You might find that your signal returns are significantly better over a particular time span (eg 1-5 days). You can then tailor an exit signal accordingly.
This has been described in Colby and Meyers' book "The Encyclopedia of Technical Market Indicators", 1988
Best Regards,
Bill
"Bengtsson, Mats" wrote:
> I wondered if there was someone willing to share a number of good ideas on
> this topic. Testing a strategy is pretty straight forward, but comparing buy
> signals is a little tougher, since it is likely the best sell signal to use
> is depending on buy signal used.
>
> Is there anyone who has a good way of looking at buy signals more isolated,
> to see which of them that deilvers good results? Any tips on how to do this
> and what to look for when comparing (like for strategies, I compare kelly
> value and Sharpe ratio).
>
> --- Mats ---
>
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