Investment strategy evaluation with cointegration: Applied Economics Letters: Vol 6, No 3

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Abstract

This paper discusses a simple testing procedure based on cointegration that can be used to assess and compare the historical performance of trading systems and investment strategies. The proposed procedure, coined the ‘cointegration cumulative profit’ test, is applied in evaluating technical analysis-based trading systems on the daily Dow Jones Industrial Average and FT30 indexes, respectively.

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Investment strategy evaluation with cointegration

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Investment strategy evaluation with cointegration

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