Enregistré dans:
| Auteur principal: | |
|---|---|
| Format: | Artículo científico |
| Langue: | en |
| Publié: |
Instituto Mexicano de Ejecutivos de Finanzas A.C.
2019
|
| Sujets: | |
| Accès en ligne: | https://www.redalyc.org/articulo.oa?id=423765104005 |
| Tags: |
Ajouter un tag
Pas de tags, Soyez le premier à ajouter un tag!
|
Table des matières:
- Huelum Trading System: A Low-Frequency Algorithm Proposal Ana Lorena Jiménez Preciado Salvador Cruz Aké César Gurrola Ríos Economía y Finanzas low tem frequency technical analysis HUELUM Trading Sys This paper aims to build a set of algorithmictradingstrategies to capture the persistenceof financial series. HUELUM Trading System is proposed to make algorithmictradingin a low-frequency environment and is tested with theExchange Traded Fund(ETF)iShares NAFTRAC daily prices. HUELUM Trading System includes one mean and onetrend technical analysis indicators which are compared to a buy & hold strategy as abenchmark. The principal contribution of this work is that HUELUM Trading Systemcan adapt to NAFTRAC, capturing its behavior, trends, and persistence or momentum.HUELUM is validated through a rolling walk forward and works with any security aslong as it has Open, High Low Close (OHLC) prices. When we are in a market with littleliquidity and deepness, HUELUM gives accurate buy and sell signals compared to a buy& hold strategy and reduces potential equity losses. 2019 artículo científico 1665-5346 https://www.redalyc.org/articulo.oa?id=423765104005 10.21919/remef.v14i4.435 en http://www.redalyc.org/revista.oa?id=4237 Revista Mexicana de Economía y Finanzas. Nueva Época / Mexican Journal of Economics and Finance application/pdf Instituto Mexicano de Ejecutivos de Finanzas A.C. Revista Mexicana de Economía y Finanzas. Nueva Época / Mexican Journal of Economics and Finance (México) Num.4 Vol.14