Pereira (2000) Motivation Experimental Design Performance Evaluation Experimental Results Structured Investments Group County Investment Management Level 19, 255 George Street Sydney NSW 2000 Motivation
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Structured Investments Group
County Investment Management
Level 19, 255 George Street
Sydney NSW 2000
can be represented by the vector
where represents the maximum length of the moving average.
where represents the maximum filter
are each given by a vector consisting of eight elements.
candidates can be represented by the vector
( ): 8 bits
( ): 10 bits
( ): 1 bit
( ): 1 bit
where is the average annualized trading rule return, is the standard deviation of daily trading rule returns, while Y is equal to the number of trading days per year.
``In’’ the Market
``Out of’’ the Market
Market Rate of Return
where represents the average daily return following a buy signal and is the number of days that the trading rule returns a buy signal.