A strategy for trading the S&P 500 futures market

被引：0
|
作者：
Olszewski E. [1 ]
机构：
[1] Department of Physics, University of North Carolina at Wilmington, Wilmington
来源：
Journal of Economics and Finance | 2001年 / 25卷 / 1期
关键词：
Future Market; Trading System; Market Timing; Future Index; Open Interest;
D O I：
10.1007/BF02759687
中图分类号：
学科分类号：
摘要：
A system for trading the S&P 500 futures market is proposed. The system is applied to S&P 500 futures data during the period from September 14, 1987, to September 27, 1999. The system uses a momentum oscillator for generating entry or exit prices. In addition, the system uses another indicator for predicting the direction of the trend. When only the oscillator is used for selecting trades, the system is not, in general, as good as buy-and-hold. However, when the trend indicator is used as a filter, the trading system is, at least, as good as buy-and-hold.
引用
收藏
页码：62 / 79
页数：17
相关论文
共 50 条
  • [1] Trading behavior in S&P 500 index futures
    Smales, Lee A.
    [J]. REVIEW OF FINANCIAL ECONOMICS, 2016, 28 : 46 - 55
  • [2] Clustering in the futures market: Evidence from S&P 500 futures contracts
    Schwartz, AL
    Van Ness, BF
    Van Ness, RA
    [J]. JOURNAL OF FUTURES MARKETS, 2004, 24 (05) : 413 - 428
  • [3] Pinning in the S&P 500 futures
    Golez, Benjamin
    Jackwerth, Jens Carsten
    [J]. JOURNAL OF FINANCIAL ECONOMICS, 2012, 106 (03) : 566 - 585
  • [4] Neural network application for S&P 500 stock index futures trading
    Choi, JH
    [J]. CRITICAL TECHNOLOGY: PROCEEDINGS OF THE THIRD WORLD CONGRESS ON EXPERT SYSTEMS, VOLS I AND II, 1996, : 116 - 122
  • [5] Splitting the S&P 500 futures
    Chen, JL
    Locke, PR
    [J]. JOURNAL OF FUTURES MARKETS, 2004, 24 (12) : 1147 - 1163
  • [6] Mispricing and trader positions in the S&P 500 index futures market
    Lai, Ya-Wen
    Lin, Chiou-Fa
    Tang, Mei-Ling
    [J]. NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE, 2017, 42 : 250 - 265
  • [7] Trading and hedging in S&P 500 spot and futures markets using genetic programming
    Wang, J
    [J]. JOURNAL OF FUTURES MARKETS, 2000, 20 (10) : 911 - 942
  • [8] Market uncertainty, expected volatility and the mispricing of S&P 500 index futures
    Tu, Anthony H.
    Hsieh, Wen-Liang G.
    Wu, Wei-Shao
    [J]. JOURNAL OF EMPIRICAL FINANCE, 2016, 35 : 78 - 98
  • [9] The Split of the S&P 500 Futures Contract: Effects on Liquidity and Market Dynamics
    Ahmet K. Karagozoglu
    Terrence F. Martell
    George H. K. Wang
    [J]. Review of Quantitative Finance and Accounting, 2003, 21 (4) : 323 - 348
  • [10] The empirical linkages among market returns, return volatility, and trading volume: Evidence from the S&P 500 VIX Futures
    Kao, Yu-Sheng
    Chuang, Hwei-Lin
    Ku, Yu-Cheng
    [J]. NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE, 2020, 54
12345