Outofsample trading performance results

A comparison of the trading performance results is presented in Table 1.20 and Figure 1.18. The results of the NNR model are quite impressive. It generally outperforms the benchmark strategies, both in terms of overall profitability with an annualised return of 29.68% and a cumulative return of 34.16%, and in terms of risk-adjusted performance with a Sharpe ratio of 2.57. The logit model has the lowest downside risk as measured by maximum drawdown at -5.79%, and the MACD model has the lowest downside risk

21 As the MACD model is not based on forecasting the next period and binary variables are used in the logit model, statistical accuracy comparisons with these models were not always possible.

Table 1.20 Trading performance results

0 0

Post a comment