Predicative Ability of Similarity-based Futures Trading Strategies

Arbeitspapier

A trading rule that draws on the empirical similarity concept is proposed to simulate the technical trading mentality|one that selectively perceives structural resemblances between market scenarios of the present and the past. In more than half of the nineteen futures markets that we test against for protability of this similarity-based trading rule, we nd evidence of predictive ability that is robust to data-snooping and transaction-cost adjust- ments. When aided by an exit strategy that liquidates the trader's positions across some evenly-spaced time points, this rule generates the most robust returns.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: IRTG 1792 Discussion Paper ; No. 2018-045

Classification and Topics

• Classification: Wirtschaft ; Portfolio Choice; Investment Decisions ; Asset Pricing; Trading Volume; Bond Interest Rates
• Subject: empirical similarity ; technical trading ; futures markets ; analogical reasoning

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Chiu, Hsin-Yu ; Chiang, Mi-Hsiu ; Kuo, Wei-Yu
• Event: Veröffentlichung
• (who): Humboldt-Universität zu Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series"
• (where): Berlin
• (when): 2018

Further information

• Handle: http://hdl.handle.net/10419/230756
• Last update: 10.03.2025, 11:42 AM CET