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Weekly Quantitative Analysis and Trend Trading in Futures Market

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Business Information Systems Workshops (BIS 2012)

Part of the book series: Lecture Notes in Business Information Processing ((LNBIP,volume 127))

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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.

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Author information

Authors and Affiliations

  1. Faculty of Humanities, Vilnius University, Muitines 8, LT-44280, Kaunas, Lithuania, EU

    Saulius Masteika, Kestutis Driaunys & Vera Moskaliova

  2. Faculty of Business Management, Vilnius Gediminas Technical University, Sauletekio al. 11, LT-10223, Vilnius, Lithuania, EU

    Saulius Masteika

Authors
  1. Saulius Masteika
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  2. Kestutis Driaunys
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  3. Vera Moskaliova
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Editor information

Editors and Affiliations

  1. Poznań University of Economics, Poznań, Poland

    Witold Abramowicz

  2. Knowledge Media Institute, The Open University, Walton Hall, MK7 6AA, Milton Keynes, UK

    John Domingue

  3. Poznań University of Economics, Al. Niepodległości 10, 60-967, Poznań, Poland

    Krzysztof Węcel

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© 2012 Springer-Verlag Berlin Heidelberg

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Masteika, S., Driaunys, K., Moskaliova, V. (2012). Weekly Quantitative Analysis and Trend Trading in Futures Market. In: Abramowicz, W., Domingue, J., Węcel, K. (eds) Business Information Systems Workshops. BIS 2012. Lecture Notes in Business Information Processing, vol 127. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-34228-8_7

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  • DOI: https://doi.org/10.1007/978-3-642-34228-8_7

  • Publisher Name: Springer, Berlin, Heidelberg

  • Print ISBN: 978-3-642-34227-1

  • Online ISBN: 978-3-642-34228-8

  • eBook Packages: Computer ScienceComputer Science (R0)

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