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Improved Trend Following Trading Model by Recalling Past Strategies in Derivatives Market
Fong, Simon; Tai, Jackie
2011-09-25
Conference NameThe Third International Conferences on Pervasive Patterns and Applications
Source PublicationPATTERNS 2011 : The Third International Conferences on Pervasive Patterns and Applications
Conference DateSeptember 25-30, 2011
Conference PlaceRome, Italy
Abstract

Unlike financial forecasting, 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 proposed a Trend Recalling model that operates in a computer system. 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 method has an edge over the other trend following methods in profitability. The results show that TF however is still limited by market fluctuation (volatility), and the ability to identify trend signal.

KeywordTrend Following Automatic Trading System Futures Contracts Mechanical Trading
URLView the original
Language英語English
Document TypeConference paper
CollectionFaculty of Science and Technology
DEPARTMENT OF COMPUTER AND INFORMATION SCIENCE
AffiliationDepartment of Computer and Information Science University of Macau Macau SAR
First Author AffilicationUniversity of Macau
Recommended Citation
GB/T 7714
Fong, Simon,Tai, Jackie. Improved Trend Following Trading Model by Recalling Past Strategies in Derivatives Market[C], 2011.
APA Fong, Simon., & Tai, Jackie (2011). Improved Trend Following Trading Model by Recalling Past Strategies in Derivatives Market. PATTERNS 2011 : The Third International Conferences on Pervasive Patterns and Applications.
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