Can aggregate performance metric be used to predict future returns?

Svoboda (ÚFÚ), Jiří; Homolka, Lubor

dc.title	Can aggregate performance metric be used to predict future returns?	en
dc.contributor.author	Svoboda (ÚFÚ), Jiří
dc.contributor.author	Homolka, Lubor
dc.relation.ispartof	Innovation and Sustainable Competitive Advantage: From Regional Development to World Economies, Vols 1-5
dc.identifier.isbn	978-0-9821489-7-6
dc.date.issued	2012
dc.citation.spage	73
dc.citation.epage	79
dc.event.title	18th International-Business-Information-Management-Association Conference
dc.event.location	Istanbul
utb.event.state-en	Turkey
utb.event.state-cs	Turecko
dc.event.sdate	2012-05-09
dc.event.edate	2012-05-10
dc.type	conferenceObject
dc.language.iso	en
dc.publisher	International Business Information Management Association (IBIMA)	en
dc.subject	performance measurement	en
dc.subject	backtesting	en
dc.subject	out of sample	en
dc.subject	returns	en
dc.description.abstract	The aim of this paper is to present an aggregate performance measure for indication of profitable trading systems. The performance measure consists of profitability, favourability, financial default and stability subindexes. The aggregate index is tested on 20 trading systems, across 16 currency pairs and evaluated on out of sample returns. Relationship between aggregate index value and out of sample returns is examined. The paper also discusses the strengths and weaknesses of elaborated model and provides possibilities to enhance the process of performance measurement of trading systems.	en
utb.faculty	Faculty of Management and Economics
dc.identifier.uri	http://hdl.handle.net/10563/1003275
utb.identifier.rivid	RIV/70883521:28120/12:43867868!RIV13-MSM-28120___
utb.identifier.obdid	43867957
utb.identifier.scopus	2-s2.0-84896366154
utb.identifier.wok	000317549800008
utb.source	d-wok
dc.date.accessioned	2013-07-27T14:54:39Z
dc.date.available	2013-07-27T14:54:39Z
utb.contributor.internalauthor	Svoboda (ÚFÚ), Jiří
utb.contributor.internalauthor	Homolka, Lubor