Algorithmic trending strategies

Discussion in 'Automated Trading' started by abattia, Mar 24, 2011.

  1. gsgs

    gsgs

    here is a chart of your performance, if you had just
    followed the daily trend in the S&P 500 since 1983.
    Buy/sell at closing price, when the S&P did raise/fall
    on that day. Broker fees ignored.

    You can see how it was a very good strategy until
    ~2000 and a very bad strategy since then

    (I hope I made no mistake here)
     
    #11     Mar 27, 2011
  2. I would guess that most which are based on TA will break even at best. Use a single simple TA tool and it'll be priced out of the market, use a combination of complicated tools and you'll be forced to fit to something, and probably experience waves of great profit and loss. I think if you use a variable which is "off the charts" you'll be more likely to susceed.
     
    #12     Jul 4, 2011
  3. In my experience systematic trend trading is very good for stocks on the longer term (weeks to months), while RTM is the best in the shorter term (minutes to days).
     
    #13     Jul 4, 2011