TY - JOUR T1 - Cluster Analysis for Evaluating Trading Strategies JF - The Journal of Trading SP - 132 LP - 137 DO - 10.3905/jot.2018.13.4.132 VL - 13 IS - 4 AU - Jeff Bacidore AU - Kathryn Berkow AU - Ben Polidore AU - Nigam Saraiya Y1 - 2018/10/31 UR - https://pm-research.com/content/13/4/132.abstract N2 - In this article, we introduce a new methodology to empirically identify the primary strategies used by a trader using only post-trade fill data. To do this, we apply a well-established statistical clustering technique called k-means to a sample of progress charts, representing the portion of the order completed by each point in the day as a measure of a trade’s aggressiveness. Our methodology identifies the primary strategies used by a trader and determines which strategy the trader used for each order in the sample. Having identified the strategy used for each order, trading cost analysis can be performed by strategy. We also discuss ways to exploit this technique to characterize trader behavior, assess trader performance, and suggest the appropriate benchmarks for each distinct trading strategy.TOPICS: Statistical methods, portfolio management/multi-asset allocation, performance measurement ER -