Automated Trading Systems: Developed and Emerging Capital Markets

Discussion in 'Automated Trading' started by stephencrowley, May 20, 2005.

  1. Are you kidding me? These guys thought evaluating a simple system based on moving averages was a good idea? How does this stuff even get published?

    http://www.unifr.ch/econophysics/ph...hp?year=2005&code=physics/0505032&version=abs

    Abstract:
    Automated trading systems on developed and emerging capital markets are studied in this paper. The standard for developed market is automated trading system with 40-days simple moving average. We tested it for the index SIX Industrial for 1000 and 730 trading days of the slovak emerging capital market. The Buy and Hold trading system was 7.80 times more profitable than this etalon trading system for active trading. Taking of profitable standard trading system from a developed capital market does not lead to optimal results on the emerging capital markets. We then studied optimized standard trading system based on the simple moving average. The parameter of optimization was the number of weeks. An optimal system was that with 5 weeks. This trading system has some of its characteristics comparable with the etalon trading system on the NYSE Composite Index. The emerging market is more risky than the developed market. The profit on the emerging market is also higher. The range of optimized system parameter is quite robust. Observed was increase of number of trades in the range from the 21 weeks to the 25 weeks. This indicates creation of a new optimal middle range trading system. Results of testing for liquid shares are quantitatively similar.
     
  2. maxpi

    maxpi

    People disprove T/A all the time!
     
  3. kut2k2

    kut2k2

    People disprove weak TA all the time.

    Sturgeon's Law: "90% of everything is crap."

    kut's Corollary #1: "99.7% of TA is crap."

    kut's Corollary #2: "Rounding off 99.7% to 100% can be extremely damaging to your trading success."

    :cool:
     
  4. yup.. more of the same shit...

    its actually funny in a way