Investment strategy evaluation with cointegration

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This paper discusses a simple testing procedure based on cointegration that can be used to assess and compare the historical performance of trading systems and investment strategies. The proposed procedure, coined the ‘cointegration cumulative profit’ test, is applied in evaluating technical analysis-based trading systems on the daily Dow Jones Industrial Average and FT30 indexes, respectively.
Original languageEnglish
Pages (from-to)177-179
Number of pages3
JournalApplied Economics Letters
Issue number3
Publication statusPublished - 1999

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