Nt

where Gt = 1 if transaction profitt < 0 Nup = number of Rt > 0 Ndown = number of Rt < 0

NT = Lt where Lt = 1 if trading signalt = trading signalt-1 Number of all Rt 's AG = (Sum of all R, > 0)/Nup AL = (Sum of all Rt < 0)/Ndown GL = AG/AL

and A = y/[(WT x AG2) + (LT x AL2)] MaxRisk is the risk level defined by the user; this research, 10%

Profits T-statistics

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