CHANGE LANGUAGE | Home > Trading System & Money Management

Trading System for Australian Dollar using multiple moving averages and autoregressive models

A Hybrid Financial Trading System Incorporating Chaos Theory, Statistical and Artificial Intelligence/Soft Computing Methods

High Frequency Exchange Rate Forecasting

System evaluation based on past performance: Random Signals Test

Index

Trading System & Money Management

New Document :

Continuous overreaction, insiders trading activities and momentum strategies

The paper investigates the influence and explanatory power of aggregate insiders trading activities on momentum trading strategies. We find that insiders trading activities can predict cross-sectional returns and can strengthen the naı¨ve momentum effects. Jihong Xiang, Jia He , Min Cao


A Refined MACD Indicator – Evidence against the Random Walk Hypothesis?

Rigorous testing of the widely used MACD indicator results in a surprisingly low success rate of 32.73% for the individually tested NASDAQ-100 stocks over a 10-year period. This study derives two methods, which address the shortcomings of the MACD indicator. Gunter Meissner, Albin Alex and Kai Nolte


The Foreign Exchange Quoting Activity as an Informative Signal

We investigate the informative property of quoting activity, measured by the frequency of price revisions, in the Euro/Dollar foreign exchange market. We use the multivariate double autoregressive conditional Poisson model, designed for time series of count data. By Dr Walid Ben Omrane and Andréas Heinen

Archive :

Determining bottom price-levels after a speculative peak

During a stock market peak the price of a given stock (i) jumps from an initial level p1(i) to a peak level p2(i) before falling back to a bottom level p3(i). The ratios A(i) = p2(i)/p1(i) and B(i) = p3(i)/p1(i) are referred to as the peak- and bottom-amplitude respectively. The paper shows that for a sample of stocks there is a linear relationship between A(i) and B(i)... . By Dr B.M. Roehner


Trading System for Australian Dollar using multiple moving averages and autoregressive models

This paper tested two of the simplest and most popular trading rules - Auto- Regressive Models and Moving Averages - by utilising the Australian Dollar relative to US Dollar from 1 Jan 1986 to 9 June 1999. By Prof. Clarence N W Tan and Herlina Dihardjo


A Hybrid Financial Trading System Incorporating Chaos Theory, Statistical and Artificial Intelligence/Soft Computing Methods

This paper proposes a hybrid financial trading system that incorporates the application of chaos theory, non-linear statistical models and artificial intelligence/soft computing methods, specifically, Artificial Neural Networks (ANNs) and Genetic Algorithms (GAs). By Prof. Clarence N W Tan


High Frequency Exchange Rate Forecasting

In this paper we examine a different kind of technical indicator which suggests a structural relationship between High, Low and Close prices of daily exchange rates. By Prof. Ronald MacDonald, Prof. Norbert Fiess


System evaluation based on past performance: Random Signals Test

This paper introduces a new method for evaluating a trading system based on its past performance. The method is a hypothesis test that asks whether the system is making random trades.

By Prof. Alex Strashny

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