Paper Info
Title
Developing Sustainable Trading Strategies Using Directional Changes With High Frequency Data
Abstract
Market prices are traditionally recorded in fixed time intervals. Directional Change is an alternative approach to summarize price movements in financial markets that is consistent with across all time scales. Unlike time series, directional change summarizes the big data in finance by focusing on the intrinsic time of the data. This captures deeper intrinsic data qualities and thus trading strategies based on directional change are more sustainable and less disruptive. In this paper, we propose four trading strategies using the concept of directional change and explore the combination with technical analysis. The trading strategies are tested using EUR/USD and GBP/USD high frequency FX market data. Empirical results show good performance of our trading strategies based on thresholds, and that combining with technical analysis brings further improvement.
Year
DOI
Venue
2017
10.1109/BigData.2017.8258453
2017 IEEE INTERNATIONAL CONFERENCE ON BIG DATA (BIG DATA)
Keywords
DocType
ISSN
FX trading, directional changes, sustainable trading strategies
Conference
2639-1589
Citations 
PageRank 
References 
0
0.34
0
Authors
4
Name
Order
Citations
PageRank
Ailun Ye100.34
V. L. Raju Chinthalapati221.42
Antoaneta Serguieva300.34
edward tsang421.09