Investment strategies beating the market. What can we squeeze from the market?

Robert Ślepaczuk, Grzegorz Zakrzewski and Pawel Sakowski
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Grzegorz Zakrzewski: Deutsche Bank PBS SA

No 2012-04, Working Papers from Faculty of Economic Sciences, University of Warsaw

Abstract: The paper presents the new approach to optimizing automatic transactional systems. We propose the 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 risk control system based on volatility measures and consecutive signals confirmation. As the 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)
JEL-codes: C22 C61 G14 G15 (search for similar items in EconPapers)
Pages: 28 pages
Date: 2012
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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http://www.wne.uw.edu.pl/inf/wyd/WP/WNE_WP70.pdf First version, 2012 (application/pdf)

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Persistent link: https://EconPapers.repec.org/RePEc:war:wpaper:2012-04

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