Fractal Formation and Trend Trading Strategy in Futures Market

被引：0
|
作者：
Masteika, Saulius [1 ,2 ]
Rutkauskas, Aleksandras V. [1 ]
Lopata, Audrius [2 ,3 ]
机构：
[1] VGTU, Fac Business Management, Dept Finance Engn, Vilnius, Lithuania
[2] Vilnius Univ, Fac Humanities, Dept Informat, Vilnius, Lithuania
[3] Kaunas Univ Technol, Dept Informat Syst, Vilnius, Lithuania
来源：
CHAOS AND COMPLEX SYSTEMS | 2013年
关键词：
D O I：
10.1007/978-3-642-33914-1_38
中图分类号：
O4 [物理学];
学科分类号：
0702 ;
摘要：
The paper presents the details of trend trading algorithm in futures market. A contribution of this paper lies in a modified chart pattern related to a fractal formation, nonlinearity and chaos theory, broadly discussed by Benoit B. Mandelbrot and Bill M. Williams. As typical fractal pattern often is being applied in conjunction with other forms of technical analysis, like moving averages, Elliott Waves analysis or MACD indicators the proposed pattern is presented as a basic indicator itself. The strategy can be applied as up-trend market forecasting tool. The efficiency of the proposed strategy was tested with the most active North American futures contracts using 10 years historical daily data. Experimental results showed better returns if compared to overall market average-CRB index.
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页码：295 / 299
页数：5
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