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High-Frequency Technical Trading

Author

Listed:
  • Antonio Giangreco

    (LEM - Lille économie management - UMR 9221 - UA - Université d'Artois - UCL - Université catholique de Lille - Université de Lille - CNRS - Centre National de la Recherche Scientifique)

  • Nikola Gradojevic
  • Camillo Lento

Abstract

This chapter investigates the profitability of technical trading rules applied to high-frequency data across two time periods: (1) periods of increased market volatility; and (2) periods of the market's upward trend. The analysis utilizes 5-min data for the S&P 500 Index and the VIX (Chicago Board Options Exchange Market Volatility Index) from 2011 to 2013. Three variants of four common trading rules are tested (moving averages, filter rules, Bollinger bands, and breakouts). The results suggest that the VIX is not a useful indicator for technical trading profitability at high frequencies regardless of the volatility regime. The S&P 500 Index data are shown to generate profitable trading signals during periods of higher volatility, but not during steady market increases. Overall, the results suggest that technical trading strategies calculated at high frequencies are more profitable when the market is volatile.

Suggested Citation

  • Antonio Giangreco & Nikola Gradojevic & Camillo Lento, 2015. "High-Frequency Technical Trading," Post-Print hal-03273743, HAL.
    • Handle: RePEc:hal:journl:hal-03273743
    DOI: 10.1016/B978-0-12-802205-4.00020-8
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