Status | 已發表Published |
Improved Trend Following Trading Model by Recalling Past Strategies in Derivatives Market | |
Fong, Simon; Tai, Jackie | |
2011-09-25 | |
Conference Name | The Third International Conferences on Pervasive Patterns and Applications |
Source Publication | PATTERNS 2011 : The Third International Conferences on Pervasive Patterns and Applications |
Conference Date | September 25-30, 2011 |
Conference Place | Rome, 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. |
Keyword | Trend Following Automatic Trading System Futures Contracts Mechanical Trading |
URL | View the original |
Language | 英語English |
Document Type | Conference paper |
Collection | Faculty of Science and Technology DEPARTMENT OF COMPUTER AND INFORMATION SCIENCE |
Affiliation | Department of Computer and Information Science University of Macau Macau SAR |
First Author Affilication | University 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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