Forecasting index changes in the German DAX family Friedrich‑Carl Franz1 Revised: 30 January 2020 / Published online: 18 February 2020 © The Author(s) 2020 Abstract Combining market data with a publicly available monthly snapshot of Deutsche Börse’s index ranking list, I create a model that predicts index changes in the DAX, MDAX, SDAX, and TecDAX from 2010 to 2019 before they are ofcially announced. Even though I empirically show that index changes are predictable, they still earn sizeable post-announcement 1-day abnormal returns up to 1.42% and − 1.54% for promotions and demotions, respectively. While abnormal returns are larger in smaller stocks, I fnd no evidence that they are related to funding constraints or additional risk for trading on wrong predictions. A trading strategy that trades according to my model yields an annualized Sharpe ratio of 0.83 while being invested for just 4 days a year. https://link.springer.com/content/pdf/10.1057/s41260-020-00153-6.pdf
Seriously? Did you double check your results? Any peer reviews yet? Can one make any use of your findings, ie. profit from it? What about yourself?
We are professional traders, not professional readers. We have to bring home the bacon my trading, and not reading.
If you do not want to read then do not read this Elitetrader Forum. If you do not want to improve your trading then do not do any research. This is meant for traders who want to improve their trading with modifying or adapting their strategy to capture more alpha. Therefore some research is required. But if you do just want to keep your trading style and do not look further you do not need to read any threads in this forum. Just keep trading. But I guess also your trading can be improved a lot unless you are already a billionaire from trading
It seems like you are creating 10 new threads a day, every day. And you will continue to do so till the end of time. Anyway, Please go ahead and read it. Then let us know your comments.