Outofsample forecasting accuracy results

The forecasting accuracy statistics do not provide very conclusive results. Each of the models evaluated, except the logit model, are nominated "best" at least once. Interestingly, the naive model has the lowest Theil-U statistic at 0.6901; if this model is believed to be the "best" model there is likely to be no added value using more complicated forecasting techniques. The ARMA model has the lowest MAPE statistic at 101.51%, and equals the MAE of the NNR model at 0.0056. The NNR model has the lowest RMSE statistic, however the value is only marginally less than the ARMA model. The MACD model has the highest CDC measure, predicting daily changes accurately 60.00% of the time. It is difficult to select a "best" performer from these results, however a majority decision rule

Table 1.17 Trading simulation performance measures

Performance measure


Annualised return

Cumulative return

Annualised volatility

Sharpe ratio

Maximum daily profit Maximum daily loss Maximum drawdown

% Winning trades

% Losing trades

Number of up periods Number of down periods

Number of transactions

Total trading days Avg. gain in up periods Avg. loss in down periods Avg. gain/loss ratio

Probability of 10% loss

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