08. Performance Evaluation

【參考資料】

• Eling, Martin and Frank Schuhmacher (2007), “Does the choice of performance measure influence the evaluation of hedge funds?”  Journal of Banking & Finance,  31(9), 2632-2647. 

• Rodríguez, Javier(2008), " Market timing: A global endeavor”Journal of International Financial Markets, Institutions and Money,Volume 18, Issue 5, December 2008, Pages 545-556

• https://investexcel.net/calculate-the-sortino-ratio-with-excel

• 最佳化股票交易策略

• 用Python投資加密貨幣：實做回測策略

•  Matlab  Code      

  • Performance Metrics Overview - MATLAB & Simulink (mathworks.com) 

  • Compute sample lower partial moments of data - MATLAB lpm (mathworks.com) 

• R Code              http://pbil.univ-lyon1.fr/library/tseries/html/maxdrawdown.html

• EXCEL Function

  •  http://www.programtrading.tw/viewtopic.php?f=3&t=454

  • https://www.youtube.com/watch?v=FHk8-3yx3LU

  • https://drive.google.com/drive/folders/1sP40IW0p0w5IETCgo464uhDFfdyR6rh7

• Daniel, Grinblatt, Titman, and Wermers（DGTW,1997）database http://www.rhsmith.umd.edu/faculty/rwermers/ftpsite/Dgtw/coverpage.htm