Weekly quantitative analysis and trend trading in futures market

Abstract

The main task of this paper is to examine a trend trading strategy in futures market based on quantitative and chart pattern analysis. A contribution of this paper lies in a modified chart pattern related to fractal formation and its application to up-trend trading. Experimental research and time series analysis is on a weekly basis. Trading strategy was tested with the most active futures using historical weekly data records from NYMEX, ECBOT, GLOBEX, ICE and CFE exchanges (2001- 2012). The trend trading strategy has refuted the efficient market hypothesis and has given better returns if compared to overall market index (CRB). The proposed strategy can be attractive for futures traders or hedge funds and be applied as a decision support tool in market analysis. © 2012 Springer-Verlag.