No destructors for automatic objects are called. If replacing of std::longjmp with throw and setjmp with catchwould execute a non-trivial destructor for any automatic object, the behavior of such std::longjmp is undefined.

longjmp를 쓰면 destructor가 안 불리네.

C++에서는 throw, catch를 써야 한다. (malloc, free 대신에 new, delete를 쓰는 것처럼)

Posted by steloflute

Revisiting the Protability of Market Timing with

Moving Averages

Valeriy Zakamuliny

This revision: March 7, 2016


In a recent empirical study by Glabadanidis (“Market Timing With Moving Averages”

(2015), International Review of Finance, Volume 15, Number 13, Pages 387-425; the paper

is also available on the SSRN and has been downloaded more than 7,500 times) the author

reports striking evidence of extraordinary good performance of the moving average trading

strategy. In this paper we demonstrate that “too good to be true” reported performance

of the moving average strategy is due to simulating the trading with look-ahead bias. We

perform the simulations without look-ahead bias and report the true performance of the

moving average strategy. We find that at best the performance of the moving average

strategy is only marginally better than that of the corresponding buy-and-hold strategy.

In statistical terms, the performance of the moving average strategy is indistinguishable

from the performance of the buy-and-hold strategy. This paper is supplied with R code

that allows every interested reader to reproduce the reported results.

Key words: technical analysis, market timing, moving averages, performance evaluation

JEL classication: G11, G17.


이동평균 전략은 매수 후 보유 전략과 차별되지 않는다는 내용

Posted by steloflute

Go to Edit > Preferences and under "Documents" section, uncheck "Open tools pane for each document"

Posted by steloflute

Generate bitcoin for me

What's this?

티스토리 툴바