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 5353 different trading rules, including the strategies that are always short, neutral or long.
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, 15, 20, 25, 30, 40, 50, 75, 100, 125, 150, 200, 250] |
| band | =[0.001, 0.005, 0.01, 0.015, 0.02, 0.03, 0.04, 0.05] |
| delay | =[2, 3, 4, 5] |
| fhp | =[5, 10, 25, 50] |
| sl | =[0.02, 0.03, 0.04, 0.05, 0.075, 0.10] |
With the 16 values of n we can construct ( 216)=120 basic moving-average (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:
120+120*8+120*4+120*4+120*6=2760 MA strategies.
Trading range break-out 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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