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.
Generally speaking, a trading strategy is a collection of rules triggered by one or more indicators...