UM  > 科技學院  > 電腦及資訊科學系
The Application of Trend Following Strategies in Stock Market Trading
Simon Fong; Jackie Tai
2009-12-01
Conference Name2009 Fifth International Joint Conference on INC, IMS and IDC
Source PublicationNCM 2009 - 5th International Joint Conference on INC, IMS, and IDC
Pages1971-1976
Conference Date25-27 Aug. 2009
Conference PlaceSeoul, South Korea
PublisherIEEE
Abstract

Trend-following (TF) strategies use fixed trading mechanism in order to take advantages from the long-term market moves without regards to the past price performance. In contrast with most prediction tools that stemmed from soft-computing such as neural networks to predict a future trend, TF just rides on the current trend pattern to decide on buying or selling. While TF is widely applied in currency markets with a good track record for major currency pairs [1], it is doubtful that if TF can be applied in stock market. In this paper a new TF model that features both strategies of evaluating the trend by static and adaptive rules, is created from simulations and later verified on Hong Kong Hang Seng future indices. The model assesses trend profitability from the statistical features of the return distribution of the asset under consideration. The results and examples facilitate some insights on the merits of using the trend following model. 

KeywordStock Market Trading Algorithm Trend-following
DOIhttps://doi.org/10.1109/NCM.2009.402
URLView the original
Language英语
Fulltext Access
Citation statistics
Document TypeConference paper
CollectionDEPARTMENT OF COMPUTER AND INFORMATION SCIENCE
AffiliationDepartment of Computer and Information Science University of Macau, Macao SAR
First Author AffilicationUniversity of Macau
Recommended Citation
GB/T 7714
Simon Fong,Jackie Tai. The Application of Trend Following Strategies in Stock Market Trading[C]:IEEE,2009:1971-1976.
Related Services
Recommend this item
Bookmark
Usage statistics
Export to Endnote
Google Scholar
Similar articles in Google Scholar
[Simon Fong]'s Articles
[Jackie Tai]'s Articles
Baidu academic
Similar articles in Baidu academic
[Simon Fong]'s Articles
[Jackie Tai]'s Articles
Bing Scholar
Similar articles in Bing Scholar
[Simon Fong]'s Articles
[Jackie Tai]'s Articles
Terms of Use
No data!
Social Bookmark/Share
All comments (0)
No comment.
 

Items in the repository are protected by copyright, with all rights reserved, unless otherwise indicated.