Learning zero-cost portfolio selection with pattern matching
Fig 7
Wealth from Different JSE OHLC data sets.
Comparison of wealth achieved from the absolute portfolio, active portfolio and Györfi nearest neighbour porfolio on the(a)close-to-close (b) open-to-close (c) close-to-open and (d) open-to-open JSE OHLC datasets. Here we find that there is no particular combination of OHLC data for which there is a systematic preference, e.g. close-to-close, the case of considering the close price change from one day end to another is not systematically more profitable than other combinations of data times. These tests do consider the reality of trading prior to a time point, for example market close, one cannot a-priori know what the close price will be, this has to be approximated. This excludes price-impact effects.