A Confidence Interval Triggering Method for Stock Trading Via Feedback Control

made for trading in securities in [1]. To this end, the contribution … store concepts and options trading. The main idea of the intangible assets and Stock Trading Strategies ….

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The consistently positive trading returns in the Ito Market provide impetus for continuation of this direction of research. When simulations were carried out using real-world data, results were rather mixed. In some cases, the strategy vastly out-performs classical benchmarks such as buy and hold; in other cases, the performance fell short.
The reader is best served by taking the point of view that numerical results in this paper are solely for demonstration of the mechanics of the trading algorithm. In this regard, a rigorous evaluation of performance vis-a-vis standard benchmarks is relegated to future research. Furthermore, it is important to note that the quality of trading results depends critically on the strategy parameters: the chosen confidence level 1−α for triggering, the number of training days n for data acquisition, the feedback gain K and the prescribed initial and saturation investment levels I0 and Imax respectively. This strongly suggests that trading results can be dramatically improved by carrying out an in-sample pre-optimization on the training data. That is, the trader can take the time series for price and carry out an optimization with respect to the strategy parameters over the last n days

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