Optimal f and Portfolio Return Optimisation in US Futures Markets: Discussion Paper No. 133
Anderson, John A. (2003) Optimal f and Portfolio Return Optimisation in US Futures Markets: Discussion Paper No. 133. . [Working Paper]
While considerable evidence has been produced concerning the efficacy of trading rules in futures markets, the results have generally not allowed for the reinvestment of profits as might be observed for real traders. Similarly, the determination of the appropriate capital allocation required per futures contract traded has been largely unstructured so making reported percentage returns questionable. This paper provides evidence of the profitability of a simple and publicly available trading rule in five futures markets but more importantly incorporates the ability to reinvest any profits via the ‘Optimal f’ technique described by Vince (1990). The results indicate that money management in speculative futures trading plays a more important role in trading rule profitability than previously considered by providing dramatic differences in profitability depending on how aggressively the trader capitalises each futures contract.
Citation countsare sourced monthly fromand citation databases.
Citations counts from theindexing service can be viewed at the linked Google Scholar™ search.
Full-text downloadsdisplays the total number of times this work’s files (e.g., a PDF) have been downloaded from QUT ePrints as well as the number of downloads in the previous 365 days. The count includes downloads for all files if a work has more than one.
|Item Type:||Working Paper|
|Keywords:||money management, Trading Rules|
|Subjects:||Australian and New Zealand Standard Research Classification > ECONOMICS (140000) > APPLIED ECONOMICS (140200) > International Economics and International Finance (140210)|
|Divisions:||Current > QUT Faculties and Divisions > QUT Business School|
|Copyright Owner:||Copyright 2003 (Please consult author)|
|Deposited On:||03 Nov 2004|
|Last Modified:||02 Feb 2012 19:42|
Repository Staff Only: item control page