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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]

Abstract

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.

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ID Code: 511
Item Type: Working Paper
Keywords: money management, Trading Rules
ISSN: 1324-5910
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

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