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Research Article
On the Bound of Cumulative Return in Trading Series
Yang Can
South China University of Technology
Corresponding Author
ORCiD: https://orcid.org/0000-0002-7235-9093
Helong Li
South china University of Technology
Corresponding Author
License:
This work is licensed under a CC BY 4.0 License. Read Full License
There is no doubt that cumulative return is one of fundamental concerns in financial markets. In this paper, we first reveal the upper bound of cumulative return, and then propose a method to evaluate the performance of trading strategies by using proposed upper bound. Furthermore, with the help of bootstrap methodology, we conduct numerous experiments on distinct international stock markets, including developed markets and emerging markets, to verify the validity of the proposed upper bound. And both the theoretical and empirical results show that the effectiveness of the proposed upper bound and reveal its significant potentials on evaluating performance of trading rules.
Keywords
Bound, Bootstrap, Technical Indicator, Time Series
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This is a preprint. It has not completed peer review.
Research Article
On the Bound of Cumulative Return in Trading Series
Yang Can
South China University of Technology
Corresponding Author
ORCiD: https://orcid.org/0000-0002-7235-9093
Helong Li
South china University of Technology
Corresponding Author
Badges
Prescreen
This manuscript passed our Prescreen assessment
Complete author information
Appropriate declaration statements
Potential risks to human health
Prescreen
History
CURRENT STATUS: Posted
Version 1
Posted 18 May, 2020
No community comments so far
Metrics
Comments: 0
PDF Downloads: ...
HTML Views: ...
Subject Areas
Applied Statistics
License:
This work is licensed under a CC BY 4.0 License. Read Full License
There is no doubt that cumulative return is one of fundamental concerns in financial markets. In this paper, we first reveal the upper bound of cumulative return, and then propose a method to evaluate the performance of trading strategies by using proposed upper bound. Furthermore, with the help of bootstrap methodology, we conduct numerous experiments on distinct international stock markets, including developed markets and emerging markets, to verify the validity of the proposed upper bound. And both the theoretical and empirical results show that the effectiveness of the proposed upper bound and reveal its significant potentials on evaluating performance of trading rules.
Figure 1
Figure 2
Figure 3
Figure 4
Figure 5
Figure 6
Due to technical limitations, full-text HTML conversion of this manuscript could not be completed. However, the manuscript can be downloaded and accessed as a PDF.