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Article Archive For Guy Brys and Luc Van Hof

  • Studying ETFs Online With R

    ARTICLE SYNOPSIS ...Here is an example of using an open-source language, R, to code indicators, which the authors then used to create their own app that can compare ETFs. Here is how they did it...

  • A Nonparametric Performance Measure by Guy Brys and Luc Van Hof

    ARTICLE SYNOPSIS ...A Nonparametric Performance Measure by Guy Brys and Luc Van Hof Many an indicator generates buy/sell signals, but how effective are they? We can measure the quality of such signals by embedding them into a fairly simple trading system. We will apply two performance measures -- the classical return on account (ROA) and a nonparametric one (ACC) -- to four indicators to measure the quality of the buy/sell signals, followed by a walk-forward optimization and a discussion of the results. IN THEORY Generally speaking, a trading strategy is a collection of rules triggered by one or more indicators...

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