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Introduction of the Profit Surface

Author

Listed:
  • Bell, Peter N

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.

Suggested Citation

  • Bell, Peter N, 2010. "Introduction of the Profit Surface," MPRA Paper 26812, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:26812
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    File URL: https://mpra.ub.uni-muenchen.de/26812/3/MPRA_paper_26812.pdf
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    Cited by:

    1. Bell, Peter N, 2013. "New Testing Procedures to Assess Market Efficiency with Trading Rules," MPRA Paper 46701, University Library of Munich, Germany.

    More about this item

    Keywords

    Mathematics; Finance; Trading; Moving Average;
    All these keywords.

    JEL classification:

    • A39 - General Economics and Teaching - - Multisubject Collective Works - - - Other
    • E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications

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