Research Repository

Backlash Agent: A trading strategy based on Directional Change

Bakhach, A and Tsang, E and Ng, WL and Chinthalapati, VLR (2017) Backlash Agent: A trading strategy based on Directional Change. In: UNSPECIFIED, ? - ?.

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Abstract

© 2016 IEEE. Directional Change (DC) is a technique to summarize price movements in a financial market. According to the DC concept, data is sampled only when the magnitude of price change is significant according to the investor. Unlike with time series, DC samples data at irregular time intervals. In this paper, we propose a contrarian trading strategy that is based on the DC concept. We examine the profitability of our trading strategy using three currency pairs: EUR/CHF, GBP/CHF and EUR/USD. The results show that our proposed trading strategy is profitable with Alpha over than 10 in some cases. However, counting the bid and ask prices can decrease considerably the profits under particular settings.

Item Type: Conference or Workshop Item (Paper)
Additional Information: Published proceedings: 2016 IEEE Symposium Series on Computational Intelligence, SSCI 2016
Subjects: H Social Sciences > HG Finance
Q Science > QA Mathematics > QA75 Electronic computers. Computer science
Divisions: Faculty of Science and Health > Computer Science and Electronic Engineering, School of
Depositing User: Jim Jamieson
Date Deposited: 26 Jun 2017 14:21
Last Modified: 17 Aug 2017 17:16
URI: http://repository.essex.ac.uk/id/eprint/19907

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