Robust trading rule selection and forecasting accuracy

DOI10.1007/S11424-014-3302-7MaRDI QIDQ741892zbMATH OpenOpenAlexFDO

Authors Harald Schmidbauer, Angi Rösch, Tolga Sezer, Vehbi Sinan Tunalioğlu

Publication date 15 September 2014

Published in Journal of Systems Science and Complexity (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11424-014-3302-7

zbMATH Keywords

a priori robustnessdata-snooping biasefficient market hypothesisevolutionary computationintraday FX marketstime-series bootstraptrading rule selection

Mathematics Subject Classification ID

Trade models (91B60) Sampled-data control/observation systems (93C57)

Recommendations

• Estimating the out-of-sample predictive ability of trading rules: a robust bootstrap approach
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• An empirical evaluation of nonlinear trading rules
• Adaptive evolutionary neural networks for forecasting and trading without a data-snooping bias

Cites work

• A Reality Check for Data Snooping
• Evolving technical trading rules for spot foreign-exchange markets using grammatical evolution
• scientific article; zbMATH DE number 795587 (Why is no real title available?)

Cited in

(5)

• No pain, no gain: you should always incorporate trading costs for a bias-free evaluation of trading rule overperformance
• Optimization of trading rules with a penalty term for increased risk-adjusted performance
• Automated trading with boosting and expert weighting
• Estimating the out-of-sample predictive ability of trading rules: a robust bootstrap approach
• Direct multiperiod forecasting for algorithmic trading

Describes a project that uses

Uses Software

• meboot
• R

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