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1 décembre 2019
- handle: 10670/1.2elb8b
Ce document est lié à :
10.21919/remef.v14i4.435
info:eu-repo/semantics/openAccess
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Military strategy Commercial products--Prices Commodity prices Price theory Justum pretium Methods of analysis Analysis and chemistry Analytical methods Chemical analysis Analysis methods Analysis and examinationCiter ce document
Ana Lorena Jiménez Preciado et al., « Huelum Trading System: A Low-Frequency Algorithm Proposal », Revista mexicana de economía y finanzas, ID : 10670/1.2elb8b
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Résumé
This paper aims to build a set of algorithmic trading strategies to capture the persistence of financial series. HUELUM Trading System is proposed to make algorithmic trading in a low-frequency environment and is tested with the Exchange Traded Fund (ETF) iShares NAFTRAC daily prices. HUELUM Trading System includes one mean and one trend technical analysis indicators which are compared to a buy & hold strategy as a benchmark. The principal contribution of this work is that HUELUM Trading System can adapt to NAFTRAC, capturing its behavior, trends, and persistence or momentum. HUELUM is validated through a rolling walk forward and works with any security as long as it has Open, High Low Close (OHLC) prices. When we are ina market with little liquidity and deepness, HUELUM gives accurate buy and sell signals compared to a buy & hold strategy and reduces potential equity losses.