No pain, no gain: you should always incorporate trading costs for a bias-free evaluation of trading rule overperformance

DOI10.1016/J.ECONLET.2022.110584MaRDI QIDQ2158695zbMATH OpenOpenAlexFDO

Authors Dan Gabriel Anghel

Publication date 26 July 2022

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.econlet.2022.110584

zbMATH Keywords

data snoopingfalse discoveriesforecasting modelsmultiple testing procedurestrading coststrading rules

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Financial markets (91G15)

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Cites work

• A Reality Check for Data Snooping
• scientific article; zbMATH DE number 720689 (Why is no real title available?)
• Stepwise Multiple Testing as Formalized Data Snooping
• The positive false discovery rate: A Bayesian interpretation and the \(q\)-value

Cited in

(1)

• Robust trading rule selection and forecasting accuracy

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