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摘要翻译：
我们提出了一个基于少数博弈的预测模型，在该模型中，交易者利用策略的过去表现，以不同的记忆长度连续评估一套完整的交易策略。根据所选择的交易策略，他们决定了他们对单一资产在接下来的时间周期内的运动的预测。我们用标准普尔500的股票进行实证研究，发现我们的预测模型的成功率超过51.5%，比买入并持有策略产生了更高的回报。即使考虑到交易成本，我们发现使用预测也会产生更好的投资组合。
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英文标题：
《Evaluating the performance of adapting trading strategies with different
memory lengths》
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作者：
Andreas Krause
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最新提交年份：
2009
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分类信息：
一级分类：Quantitative Finance 数量金融学
二级分类：Portfolio Management 项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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英文摘要：
We propose a prediction model based on the minority game in which traders continuously evaluate a complete set of trading strategies with different memory lengths using the strategies' past performance. Based on the chosen trading strategy they determine their prediction of the movement for the following time period of a single asset. We find empirically using stocks from the S&P500 that our prediction model yields a high success rate of over 51.5% and produces higher returns than a buy-and-hold strategy. Even when taking into account trading costs we find that using the predictions will generate superior investment portfolios.
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PDF链接：
https://arxiv.org/pdf/0901.0447
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