Forecasting 1999 - Testing Strategies

Forecasting 1999 - Testing Strategies - Forecasting...

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Copyright © 1999-2006 Investment Analytics Forecasting Financial Markets – Testing Strategies Slide: 1 Forecasting Financial Markets Testing Strategies
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Copyright © 1999-2006 Investment Analytics Forecasting Financial Markets – Testing Strategies Slide: 2 Overview ¾ Measuring Estimator Performance ¾ Measuring Profitability ¾ Equity Curve Measures ¾ Portfolio Performance Measures
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Copyright © 1999-2006 Investment Analytics Forecasting Financial Markets – Testing Strategies Slide: 3 Measuring Estimator Performance ¾ Correlation coefficient ¾ Theil’s information coefficient ¾ Akaike information criteria ¾ Schwartz Bayesian information criterion ¾ Average relative variance ¾ Directional change predictor ¾ Bull-bear statistic
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