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Trend Recalling Algorithm for Automated Online Trading in Stock Market
Simon Fong1; Jackie Tai1; Pit Pichappan2
2012-08-01
Source PublicationJournal of Emerging Technologies in Web Intelligence
ISSN1798-0461
Volume4Issue:3Pages:240-251
Abstract

Unlike financial forecasting, a type of mechanical trading technique called Trend Following (TF) doesn't predict any market movement; instead it identifies a trend at early time of the day, and trades automatically afterwards by a pre-defined strategy regardless of the moving market directions during run time. Trend following trading has a long and successful history among speculators. The traditional TF trading method is by human judgment in setting the rules (aka the strategy). Subsequently the TF strategy is executed in pure objective operational manner. Finding the correct strategy at the beginning is crucial in TF. This usually involves human intervention in first identifying a trend, and configuring when to place an order and close it out, when certain conditions are met. In this paper, we presented a new type of TF, namely Trend Recalling algorithm that operates in a totally automated manner. It works by partially matching the current trend with one of the proven successful patterns from the past. Our experiments based on real stock market data show that this algorithm has an edge over the other trend following methods in profitability. The new algorithm is also compared to time-series forecasting type of stock trading, and it can even outperform the best forecasting type in a simulation. 

KeywordTrend Following Algorithm Automated Stock Market Trading
DOI10.4304/jetwi.4.3.240-251
URLView the original
Language英語English
Scopus ID2-s2.0-84873600428
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Document TypeJournal article
CollectionDEPARTMENT OF COMPUTER AND INFORMATION SCIENCE
Corresponding AuthorSimon Fong; Pit Pichappan
Affiliation1.Department of Computer and Information Science,University of Macau,Taipa, Macau SAR
2.School of Information Systems, Al Imam University,Riyadh, Saudi Arabia
First Author AffilicationUniversity of Macau
Corresponding Author AffilicationUniversity of Macau
Recommended Citation
GB/T 7714
Simon Fong,Jackie Tai,Pit Pichappan. Trend Recalling Algorithm for Automated Online Trading in Stock Market[J]. Journal of Emerging Technologies in Web Intelligence, 2012, 4(3), 240-251.
APA Simon Fong., Jackie Tai., & Pit Pichappan (2012). Trend Recalling Algorithm for Automated Online Trading in Stock Market. Journal of Emerging Technologies in Web Intelligence, 4(3), 240-251.
MLA Simon Fong,et al."Trend Recalling Algorithm for Automated Online Trading in Stock Market".Journal of Emerging Technologies in Web Intelligence 4.3(2012):240-251.
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