Analysis of stochastic technical trading algorithms
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.
|Date of creation:||2016|
|Contact details of provider:|| Web page: http://www.wiwi.kit.edu/|
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