A strategy for trading the S&P 500 futures market |
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Authors: | Edward Olszewski |
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Institution: | (1) Department of Physics, University of North Carolina at Wilmington, 28403 Wilmington, NC |
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Abstract: | 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. |
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Keywords: | |
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