Examinando por Materia "Análisis walk-forward"
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Publicación Acceso abierto Evaluación de estrategias de gestión activa de portafolios en el mercado accionario colombiano(Universidad EIA, 2009) Restrepo Mejía, Felipe; Arroyave Baena, Jaime AlbertoThis paper compares the performance of four active portfolio management strategies with the performance of a passive Buy and Hold strategy. In order to do this, simulations using both a traditional backtesting with optimization and a Walk-Forward Analysis methodology, as proposed by Robert Pardo, were used. When divergences in the results obtained form these methodologies occurred, the results of the Walk-Forward Analysis were accepted as definitive. All four strategies we tested using the series of closing prices of the IGBC for the period between the 3rd of July of 2001 and the December the 30th of 2008. To confirm the validity of the results obtained with each methodology, hypothesis tests were performed.