Systematic testing of systematic trading strategies

Kovlin Perumal and Emlyn Flint

Journal of Investment Strategies

Abstract: Systematic trading is a method that is currently extremely popular in the investment world. The testing of systematic trading rules is usually done through backtesting and is at high risk of spurious accuracy as a result of the data-mining bias (DMB) present when testing multiple rules concurrently over the same historical period. The eradication of this DMB through the use of statistical methodologies is currently a relevant topic in investment research, as is illustrated by papers written by Chordia, Goyal and Saretto in 2017, by Harvey and Liu in 2014, by Novy-Marx in 2016 and by Peterson in 2015. This study reviews the various statistical methodologies that are in place to test multiple systematic trading strategies and implements these methodologies under simulation with known artificial trading rules in order to critically compare and evaluate them.

References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.risk.net/journal-of-investment-strateg ... c-trading-strategies (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:rsk:journ6:5988361

Access Statistics for this article

More articles in Journal of Investment Strategies from Journal of Investment Strategies
Bibliographic data for series maintained by Thomas Paine ().