TY - JOUR
T1 - Huelum Trading System
T2 - A Low-Frequency Algorithm Proposal
AU - Jiménez Preciado, Ana Lorena
AU - Aké, Salvador Cruz
AU - Ríos, César Gurrola
N1 - Publisher Copyright:
© 2019 Instituto Mexicano de Ejecutivos de Finanzas. All rights reserved.
PY - 2019
Y1 - 2019
N2 - This paper aims to build a set of algorithmic trading strategies to capture the persistence of financial series. HUELUM Trading System is proposed to make algorithmic trading in a low-frequency environment and is tested with the Exchange Traded Fund (ETF) iShares NAFTRAC daily prices. HUELUM Trading System includes one mean and one trend technical analysis indicators which are compared to a buy hold strategy as a benchmark. The strategy’s implementation is recommended for moderate-high risk profiles and positions with short-term horizons (days or weeks). The principal contribution of this work is that HUELUM Trading System can adapt to NAFTRAC, capturing its behavior, trends, and persistence or momentum. HUELUM is validated through a rolling walk forward and works with any security as long as it has Open, High Low Close (OHLC) prices. When we are in a market with little liquidity and deepness, HUELUM gives accurate buy and sell signals compared to a buy & hold strategy and reduces potential equity losses.
AB - This paper aims to build a set of algorithmic trading strategies to capture the persistence of financial series. HUELUM Trading System is proposed to make algorithmic trading in a low-frequency environment and is tested with the Exchange Traded Fund (ETF) iShares NAFTRAC daily prices. HUELUM Trading System includes one mean and one trend technical analysis indicators which are compared to a buy hold strategy as a benchmark. The strategy’s implementation is recommended for moderate-high risk profiles and positions with short-term horizons (days or weeks). The principal contribution of this work is that HUELUM Trading System can adapt to NAFTRAC, capturing its behavior, trends, and persistence or momentum. HUELUM is validated through a rolling walk forward and works with any security as long as it has Open, High Low Close (OHLC) prices. When we are in a market with little liquidity and deepness, HUELUM gives accurate buy and sell signals compared to a buy & hold strategy and reduces potential equity losses.
KW - HUELUM Trading System
KW - algorithmic trading
KW - low-frequency
KW - technical analysis
UR - http://www.scopus.com/inward/record.url?scp=85151154730&partnerID=8YFLogxK
U2 - 10.21919/remef.v14i4.435
DO - 10.21919/remef.v14i4.435
M3 - Artículo
AN - SCOPUS:85151154730
SN - 1665-5346
VL - 14
SP - 651
EP - 669
JO - Revista Mexicana de Economia y Finanzas Nueva Epoca
JF - Revista Mexicana de Economia y Finanzas Nueva Epoca
IS - 4
ER -