Stylized facts in internal return rates of trend speculators on stock indices

Abstract

Stylized facts in market indicator data have been reported, up to date, especially on the session-to-session basis, such as the fat tail law in the distribution of log(Pi/Pi-1) returns on various time scales. Since even this log-normalized return indicator quantifies the profit/loss resulting from one-session asset engagement, it is worthwhile studying the stylized facts associated with more complex strategies. This work explains the possible benefits of such an approach, and uses the floating Dead Cross / Golden Cross trend strategy to illustrate such an extended approach to the stylized facts in economic series.