72 citations · 121 across the 5 of their papers we have counts for
6 papers
Correctness of Backtest Engines
Robert Löw, Stanislaus Maier-Paape, Andreas Platen
In recent years several trading platforms appeared which provide a backtest engine to calculate historic performance of self designed trading strategies on underlying candle data.…
Designing Illumination Lenses and Mirrors by the Numerical Solution of Monge-Ampère Equations
Kolja Brix, Yasemin Hafizogullari, Andreas Platen
We consider the inverse refractor and the inverse reflector problem. The task is to design a free-form lens or a free-form mirror that, when illuminated by a point light source, pr…
Lead-Lag Relationship using a Stop-and-Reverse-MinMax Process
Stanislaus Maier-Paape, Andreas Platen
The intermarket analysis, in particular the lead-lag relationship, plays an important role within financial markets. Therefore a mathematical approach to be able to find interrelat…
Backtest of Trading Systems on Candle Charts
Stanislaus Maier-Paape, Andreas Platen
In this paper we try to design the necessary calculation needed for backtesting trading systems when only candle chart data are available. We lay particular emphasis on situations…
Empirical Study of the 1-2-3 Trend Indicator
Yasemin Hafizogullari, Stanislaus Maier-Paape, Andreas Platen
In this paper we study automatically recognized trends and investigate their statistics. To do that we introduce the notion of a wavelength for time series via cross correlation an…
Solving the Monge-Ampère Equations for the Inverse Reflector Problem
Kolja Brix, Yasemin Hafizogullari, Andreas Platen
The inverse reflector problem arises in geometrical nonimaging optics: Given a light source and a target, the question is how to design a reflecting free-form surface such that a d…