CONTENTS vii
10 Confidence-Weighted Mean Reversion 71
10.1 Preliminaries 71
10.1.1 Motivation 71
10.2 Formulations 73
10.3 Algorithms 76
10.4 Analysis 78
10.5 Summary 81
11 Online Moving Average Reversion 83
11.1 Preliminaries 83
11.1.1 Related Work 83
11.1.2 Motivation 84
11.2 Formulations 88
11.3 Algorithms 90
11.4 Analysis 91
11.5 Summary 92
IV Empirical Studies 93
12 Implementations 95
12.1 The OLPS Platform 95
12.1.1 Preprocess 96
12.1.2 Algorithmic Trading 96
12.1.3 Postprocess 97
12.2 Data 97
12.3 Setups 99
12.3.1 Comparison Approaches and Their Setups 100
12.4 Performance Metrics 100
12.5 Summary 101
13 Empirical Results 103
13.1 Experiment 1: Evaluation of Cumulative Wealth 103
13.2 Experiment 2: Evaluation of Risk and Risk-Adjusted Return 105
13.3 Experiment 3: Evaluation of Parameter Sensitivity 109
13.3.1 CORN’s Parameter Sensitivity 109
13.3.2 PAMR’s Parameter Sensitivity 109
13.3.3 CWMR’s Parameter Sensitivity 114
13.3.4 OLMAR’s Parameter Sensitivity 114
13.4 Experiment 4: Evaluation of Practical Issues 116
13.5 Experiment 5: Evaluation of Computational Time 120
13.6 Experiment 6: Descriptive Analysis of Assets and Portfolios 122
13.7 Summary 126
T&F Cat #K23731 — K23731_C000 — page vii — 10/13/2015 — 16:23