INVESTMENT STRATEGIES THAT BEAT THE MARKET. WHAT CAN WE SQUEEZE FROM THE MARKET?

Robert Ślepaczuk, Paweł Sakowski and Grzegorz Zakrzewski
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Robert Ślepaczuk: Faculty of Economic Sciences, Warsaw University and Union Investment
Paweł Sakowski: Warsaw University
Grzegorz Zakrzewski: Department Director of Credit Risk Management for Micro-entrepreneurs, Nest Bank

Financial Internet Quarterly, 2018, vol. 14, issue 4, 36-55

Abstract: The paper presents a new approach to optimizing automatic transactional systems. We propose a multi-stage technique which enables us to find investment strategies beating the market. Additionally, new measures of combined risk and returns are applied in the process of optimization. Moreover, we define new elements of a risk controlsystem based on volatility measures and consecutive signal confirmation. As a result, we formulate three complex investment systems which maximize returns and simultaneously minimize risk in comparison to all other alternative investments (IR=2, Maximum Drawdown

Keywords: investment strategies; automatic trading systems; optimization; technical and fundamental analysis; market volatility; efficient risk and return measures; EMH; mutual and hedge funds (search for similar items in EconPapers)
Date: 2018
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Persistent link: https://EconPapers.repec.org/RePEc:wsz:fiq000:v:14:y:2018:i:4:id:647

DOI: 10.2478/fiqf-2018-0026

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