Bell, Peter N (2010): Introduction of the Profit Surface.
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Abstract
The profit surface is a visualization technique for data computed from trading rules. I simulate price paths and operate the trading rules to compute cumulative returns for the rule under different specifications. The specifications are pairs of integers, filter lag lengths, so a contour plot is useful to display cumulative returns for more specifications than can be shown otherwise.
| Item Type: | MPRA Paper |
|---|---|
| Original Title: | Introduction of the Profit Surface |
| Language: | English |
| Keywords: | Mathematics, Finance, Trading, Moving Average |
| Subjects: | A - General Economics and Teaching > A3 - Collective Works > A39 - Other E - Macroeconomics and Monetary Economics > E3 - Prices, Business Fluctuations, and Cycles > E37 - Forecasting and Simulation: Models and Applications |
| Item ID: | 26812 |
| Depositing User: | Peter N Bell |
| Date Deposited: | 18 Nov 2010 19:46 |
| Last Modified: | 27 Sep 2019 16:51 |
| References: | Daskalakis, G., Markellos, R., 2008. Are the European Carbon Markets Efficient? Review of Futures Markets 17, 103-128. Picchini, U., SDE Toolbox: Simulation and Estimation of Stochastic Differential Equations with Matlab, http://sdetoolbox.sourceforge.net. |
| URI: | https://mpra.ub.uni-muenchen.de/id/eprint/26812 |
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