Given the return series for a set of instruments, a trading strategy is a switching function that transfers wealth from one instrument to another at specified times. We present efficient algorithms for constructing (ex-post) trading strategies that are optimal with respect to the total return, the Sterling ratio and the Sharpe ratio. Such ex-post optimal strategies are useful analysis tools. They can be used to analyze the "profitability of a market" in terms of optimal trading; to develop benchmarks against which real trading can be compared; and, within an inductive framework, the optimal trades can be used to to teach learning systems (predictors) which are then used to identify future trading opportunities.
No takes yet. Share an insight, caveat, or question.
Boyarshinov et al. (2010) studied this question.
Synapse has enriched 3 closely related papers on similar clinical questions. Consider them for comparative context: