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Strategy out of an academic paper. 16.5 % return at 2.36 sharpe, max drawdown 6.9% through 1999-2010. Is this good, medium or bad?

Strategy out of an academic paper. 16.5 % return at 2.36 sharpe, max drawdown 6.9% through 1999-2010. Is this good, medium or bad? Equity curve, year by year statistics and relative performance here https://docs.google.com/file/d/0B3NaiGhKcKu0NTVmNjA4YmItYjA5Zi00ZWQ3LWJiY2MtZDlmNDEzN2IzNWI5/edit?hl=en_US&authkey=CNbSt6QC&pli=1 === Looks ok, but really these 2 pages does not give much information. Hss this been verified by independent auditors, or …

Strategy out of an academic paper. 16.5 % return at 2.36 sharpe, max drawdown 6.9% through 1999-2010. Is this good, medium or bad? Read More »

Strategy out of an academic paper. 16.5 % return at 2.36 sharpe, max drawdown 6.9% through 1999-2010. Is this good, medium or bad?

Strategy out of an academic paper. 16.5 % return at 2.36 sharpe, max drawdown 6.9% through 1999-2010. Is this good, medium or bad? Equity curve, year by year statistics and relative performance here Powered by Google Docs docs.google.com   == Looks ok, but really these 2 pages does not give much information. Hss this been …

Strategy out of an academic paper. 16.5 % return at 2.36 sharpe, max drawdown 6.9% through 1999-2010. Is this good, medium or bad? Read More »

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