RT Journal Article SR Electronic T1 Cluster Analysis for Evaluating Trading Strategies JF The Journal of Trading FD Institutional Investor Journals SP 132 OP 137 DO 10.3905/jot.2018.13.4.132 VO 13 IS 4 A1 Jeff Bacidore A1 Kathryn Berkow A1 Ben Polidore A1 Nigam Saraiya YR 2018 UL https://pm-research.com/content/13/4/132.abstract AB 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