Performance measurement methods of high frequency strategies at Russian stock market

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PDF: Author(s): Shcherbel M. R.,
Number of journal: 4(25) Date: November 2013

The current changes in the global economics in crisis and post crisis period affect the stock market of the Russian Federation. The most vital issue is the resolution of the effective usage of the new algorithmic and high-frequency trading methodology. In the present work we have reviewed the adaptation of the performance measurement methods of trading strategies of the high-frequency returns. The distribution characteristics of empirical data of the Moscow Stock Exchange are analyzed using statistical methods. It is shown that the choice of performance measurement method of high-frequency strategies affects the result of different strategies comparison. Such metrics as Upside potential, Farinelli-Tibiletti and Rachev showed the greatest sensitivity to the return distribution specifics of high-frequency strategies. It is recommended to base the metric selection on the investor’s risk preferences.


equity market, securities electronic trading, algorithmic trading, high-frequency trading, performance measurement, trading strategy, stock exchange, trading system, investor, transaction, revenue, risk

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