trading strategy outperforms passive strategy in absolute terms, but in returns vice versa. how could this be?
Background: I want to compare two trading strategies in term of profitability. The red one is an active trading strategy, which involves many entry and exit to a specific market. The blue one is a ...
I want to implement my models in R and trade according to them with my IB account. Now I am wondering, how I should solve this problem? Do I need to program with C an access ...
Any idea how to estimate GJR-GARCH models in R? Is there any particular library like fGarch that supports such models?