Forums  > Trading  > On market timing skills  
     
Page 1 of 1
Display using:  

Energetic
Forum Captain

Total Posts: 1488
Joined: Jun 2004
 
Posted: 2018-09-21 20:05
Recently, in this thread TonyC attached the paper by Henriksson and Merton where they give a statistical test for evaluation of market timing.

I thought it'd be a fun thing to try and not too hard either. I thought I'd be forgiven for sharing the results although I do apologize for bragging.

I reject the null hypothesis [that there is no forecasting skill] with the confidence level corresponding to 5.5 standard deviations, something like 99.99999%.

For every complex problem there is an answer that is clear, simple and wrong. - H. L. Mencken
Previous Thread :: Next Thread 
Page 1 of 1