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All sound good, and similar to advice I got from others as well, so this is
the route I will take.
Any thought on what is "significantly better", 2 percent profitability? .05
better Kelly value? What measurement is a good one?
This is something that should be interesting for everyone to do. Is there a
package that has this kind of feature in it anywhere? I mean, you can do it
in TS, but obviously that will take a lot of hard manual labor. Anything
that automates it?
> -----Original Message-----
> From: Bill Vedder [mailto:bved01@xxxxxxx]
> Sent: den 7 september 2001 03:55
> To: Bengtsson, Mats
> Cc: omega-list@xxxxxxxxxx
> Subject: Re: A question on how to compare buying signals
>
>
> 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 ---
> >
> > This message contains information that may be privileged or
> > confidential and is the property of the Cap Gemini Ernst & Young
> > Group. It is intended only for the person to whom it is
> addressed. If
> > you are not the intended recipient, you are not authorized to read,
> > print, retain, copy, disseminate, distribute, or use this
> message or
> > any part thereof. If you receive this message in error,
> please notify
> > the sender immediately and delete all copies of this message.
>
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