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Analysis of stochastic technical trading algorithms


  • Höchstötter, Markus
  • Safarian, Mher M.
  • Krumetsadik, Anna


We apply the well-known CUSUM, the Girshick-Rubin, the Graversen-Peskir- Shiryaev and an improved alteration of the Brodsky-Darkovsky algorithm as trading strategies involving only mutually exclusive long positions in cash and the DAX at Xetra intraday auction prices. We select optimal pairs of fixed thresholds for up- and downmovements from a pre-defined two-dimensional grid, hence, admitting asymmetric intervals. We show that under three different scenarios for transaction costs, the improved Brodsky-Darkovsky technique not only outperforms the passive investment in the DAX but also the other three presented algorithms.

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  • Höchstötter, Markus & Safarian, Mher M. & Krumetsadik, Anna, 2016. "Analysis of stochastic technical trading algorithms," Working Paper Series in Economics 91, Karlsruhe Institute of Technology (KIT), Department of Economics and Business Engineering.
  • Handle: RePEc:zbw:kitwps:91

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    CUSUM; Girshick-Rubin; Graversen-Peskir-Shiryaev; Brodsky-Darkovsky; trading algorithm; DAX;

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