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
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