Abstract
The paper presents the details of trend trading algorithm in futures market. A contribution of this paper lies in a modified chart pattern related to a fractal formation, nonlinearity and chaos theory, broadly discussed by Benoit B. Mandelbrot and Bill M. Williams. As typical fractal pattern often is being applied in conjunction with other forms of technical analysis, like moving averages, Elliott Waves analysis or MACD indicators the proposed pattern is presented as a basic indicator itself. The strategy can be applied as up-trend market forecasting tool. The efficiency of the proposed strategy was tested with the most active North American futures contracts using 10 years historical daily data. Experimental results showed better returns if compared to overall market average-CRB index.
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Acknowledgements
This research as Fellowship is being funded by the European Union Structural Funds project “Postdoctoral Fellowship Implementation in Lithuania” within the framework of the Measure for Enhancing Mobility of Scholars and Other Researchers and the Promotion of Student Research (VP1–3.1-ŠMM-01) of the Program of Human Resources Development Action Plan.
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Masteika, S., Rutkauskas, A.V., Lopata, A. (2013). Fractal Formation and Trend Trading Strategy in Futures Market. In: Stavrinides, S., Banerjee, S., Caglar, S., Ozer, M. (eds) Chaos and Complex Systems. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-33914-1_38
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DOI: https://doi.org/10.1007/978-3-642-33914-1_38
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