Demystifying Trading Strategy Returns

Demystifying Trading Strategy Returns

In this paper, we’ll examine a claim by a portfolio manager (let’s call him trader B) about his ability to generate statistically significant Alpha. Alpha is the excess-return compensation for the risk borne, and thus commonly used to assess active…

Predict This

Predict This

The case deals with the predictability of the daily closing EUR/USD exchange rate, given its prior history. First, we constructed a trading strategy where we buy EUR at market open, and close the position (selling EUR) at the market close…

Data preparation: Outliers

Data preparation: Outliers

In this week’s issue, the final entry in our series of data preparation tutorials, we discuss the influence of outliers on our time series analysis. Dealing with outliers can be tricky, as they might result from a number of factors,…

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