2013 | 124 | 217-231
Article title

Analiza wpływu kosztów transakcyjnych na ocenę efektywności wybranej strategii inwestycyjnej

Title variants
Analysis of Influence of Transaction Costs on Investment Strategies Efficiency
Languages of publication
Main goal of this paper is to analyse the influence of transaction costs on efficiency evaluation and parameters selection regarding technical analysis investment strategies. The first part of the article gives a brief description on rules of constructing automated investment strategies using technical analysis tools. Also, two efficiency measures that reflect several different features of distribution where presented: Omega and UPR (upside potential ratio). Moreover, a statistical method for testing whether a series of returns obtained in historical verification process comes from the same distribution as the series obtained during optimization process was introduced. Kolmogorov- -Smirnov statistical test is used for that purpose. Next, an investment strategy proposed for analysis was presented. A technical indicator ROC (rate of change) was used to generate signal for entering and exiting market positions. Afterwards, an empirical research was conducted on capital instruments of different markets: stock, currency and commodity. The results of empirical research do not result in clear conclusions. Most of the analysed cases show that considering transaction costs at optimization level results in different strategy parameters selection than not doing so. However, efficiency of such strategies in many cases is not satisfactory despite statistical verification regarding the same distribution of given returns and returns of the most effective strategies in optimization process.
Physical description
  • Ang A., Chen J.S., Xing Y.: Downside Risk, "The Review of Financial Studies" 2006, Vol. 19, Issue 4.
  • Kaplan, P.D., Knowles J.A., Kappa A.: Generalized Downside Risk-Adjusted Performance Measure, "Journal of Performance Measurement" 2004, Spring.
  • Katz J.O., McCormick D.L.: The Encyclopedia of Trading Strategies, McGraw-Hill, New York 2000.
  • Keating C., Shadwick W.F.: A Universal Performance Measure, "Journal of Performance Measurement" 2002, Vol. 6, No. 3.
  • Krysicki W., Bartos J., Dyczka W., Królikowska K., Wasilewski M.: Rachunek prawdopodobieństwa i statystyka matematyczna w zadaniach. Część II. Statystka matematyczna, Wydawnictwo Naukowe PWN, Łódź 1999.
  • Le Beau C., Lucas D.W.: Komputerowa analiza rynków terminowych, WIG Press, Warszawa 1998.
  • Le Sourd V.: Performance Measurement for Traditional Investment. Literature Survey, EDHEC, Lille-Nice 2007.
  • Pardo R.: The Evaluation and Optimization of Trading Strategies, Wiley & Sons, Hoboken, New Jersey 2008.
Document Type
Publication order reference
YADDA identifier
JavaScript is turned off in your web browser. Turn it on to take full advantage of this site, then refresh the page.