B. Parameters of technical trading strategies
This appendix presents the values of the parameters of the technical trading strategy set applied in this chapter. Most parameter values are equal to those used by Sullivan et al. (1999). Each basic trading strategy can be extended by a %-band filter (band), time delay filter (delay), fixed holding period (fhp) and a stop-loss (sl). The total set consists of 787 different trading rules.
Moving-average rules
| n | =number of days over which the price must be averaged |
| band | =%-band filter |
| delay | =number of days a signal must hold if you implement a time delay filter |
| fhp | =number of days a position is held, ignoring all other signals during this period |
| sl | =%-rise (%-fall) from a previous low (high) to liquidate a short (long) position |
| n | =[1, 2, 5, 10, 25, 50, 100, 200] |
| band | =[0.001, 0.005, 0.01, 0.025, 0.05] |
| delay | =[2, 3, 4] |
| fhp | =[5, 10, 25, 50] |
| sl | =[0.025, 0.05, 0.075, 0.10] |
We combine the short run moving averages sma=1,2,5,10,25 with the long run moving averages lma=n:n > sma. With the 8 values of n we can construct 25 basic MA trading strategies. We extend these strategies with %-band filters, time delay filters, fixed holding period and a stop-loss. The values chosen above will give us in total:
25*(1+5+3+4+4) =425 MA strategies.
Trading range break rules
| n | = length of the period to find local minima (support) and maxima (resistance) |
| band | =%-band filter |
| delay | =number of days a signal must hold if you implement a time delay filter |
| fhp | =number of days a position is held, ignoring all other signals during this period |
| sl | =%-rise (%-fall) from a previous low (high) to liquidate a short (long) position |
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