1. How to submit my research paper? What’s the process of publication of my paper?
The journal receives submitted manuscripts via email only. Please submit your research paper in .doc or .pdf format to the submission email: jetwi@etpub.com.
2.Can I submit an abstract?
The journal publishes full research papers. So only full paper submission should be considered for possible publication. Papers with insufficient content may be rejected as well, make sure your paper is sufficient enough to be published...[Read More]

Trend Following Algorithms for Technical Trading in Stock Market

Simon Fong, Jackie Tai, and Yain Whar Si
Faculty of Science and Technology, University of Macau, Macau SAR
Abstract—Trend following (TF) is a rule-based trading mechanism that taps on the movements of long-term market trend instead of relying on any forecast or external information to decide when to buy and when to sell a stock. Its simple operation is in contrast to complicated prediction methods which typically would try to predict a future trend by analyzing the historical data and may be other factors. TF makes no prediction and it is well known for its simplicity. Although TF is a popular strategy in finance and was implemented in some commercial trading system decades ago, there have not been many studies of TF in computer science. Hence the objective of this paper is to develop a computer simulator in which TF is implemented as a variety of algorithms. Through the algorithms, readers will see how different parameters are chosen, and how these TF strategies perform in a simulation with real-life data. The simulation results show that TF algorithm can gain an average profit of 75.63% of return-of-investment monthly. However, we observed that TF degrades in performance in proportion to the amount of fluctuation of the market trend. This finding is important to the design of technical trading systems. It implies that the fluctuation of market trend should be monitored; when it exceeds a certain threshold the TF trading should be paused to prevent loss.

Index Terms—trend following, technical trading, java simulator   

Cite: Simon Fong, Jackie Tai, and Yain Whar Si, "Trend Following Algorithms for Technical Trading in Stock Market," Journal of Emerging Technologies in Web Intelligence, Vol. 3, No. 2, pp. 136-145, May 2011. doi:10.4304/jetwi.3.2.136-145
Copyright © 2013-2020 Journal of Emerging Technologies in Web Intelligence, All Rights Reserved
E-mail: jetwi@etpub.com