INVESTMENT STRATEGIES THAT BEAT THE MARKET. WHAT CAN WE SQUEEZE FROM THE MARKET?
Journal Title: e-Finanse - Year 2018, Vol 14, Issue 4
Abstract
The paper presents a new approach to optimizing automatic transactional systems. We propose a multi-stage technique which enables us to find investment strategies beating the market. Additionally, new measures of combined risk and returns are applied in the process of optimization. Moreover, we define new elements of a risk control system based on volatility measures and consecutive signal confirmation. As a result, we formulate three complex investment systems which maximize returns and simultaneously minimize risk in comparison to all other alternative investments (IR=2, Maximum Drawdown<21%, Maximum Loss Duration=0.75 year). Our analysis is based on historical daily data (1998-2010, in- and out-of-sample period) for index and commodity futures. Afterwards, the systems are reoptimized and reallocated each half a year in order to include the most recent financial data. Finally, we show the results for a joint model consisting of our three systems.
Authors and Affiliations
Robert Ślepaczuk, Paweł Sakowski, Grzegorz Zakrzewski
Keywords
Related Articles
- EP ID EP493909
- DOI 10.2478/fiqf-2018-0026
- Views 96
- Downloads 0
Value added statement - a relevant instrument for integrated reporting
The integrated report is a tool enabling communication of an enterprise with both internal and external stakeholders. The lack of unanimity of stakeholders’ opinions on building values, resulting from the differentiation...
UNDERSTANDING FINANCIALIZATION: STANDING ON THE SHOULDERS OF MINSKY
Since Hyman Minsky’s death in 1996, much has been written about financialization. This article — by means of the synthesis, interpretation, and assessment of an extensive literature — explores the issues that Minsky exam...
ANALYSIS AND PROFITABILITY ASSESSMENT OF POLISH CONSTRUCTION COMPANIES THREATENED WITH BANKRUPTCY
This paper presents analysis of profitability indicators of Polish construction companies threatened with bankruptcy compared to analogous indicators obtained by Polish construction entities as a whole. The analysis conc...
High propensity to pay dividends by state-controlled companies in Poland. Tunneling or maturity effect?
Usage of a random effects panel logit model have shown in this paper that the high propensity to pay dividends by the state-controlled companies quoted on the Warsaw Stock Exchange over the last years was not a result of...
EXCHANGE TRADED COMMODITIES AS A CATEGORY OF INNOVATIVE PRODUCTS ON EUROPEAN FINANCIAL
The article presents the main features of one category of innovative financial products – exchange traded commodities (ETCs) and results of the analysis of the European market for ETCs. ETCs are products listed and trade...