Using trading mechanisms to investigate large futures data and their implications to market trends

摘要: Market trends have been one of the highly debated phenomena in financial industries and academia. Prior works show profitability exploiting transactions via market trend quantification; on other hand, traders' behaviors effects can be better understood by studies. In general, trading strategies include following contrarian strategies. Following trend, exploit momentum effects. The profit a long position with rising prices, as well short decreasing prices. On contrary, view strategy is based mean-reversion property, i.e., taken when price moves down up. this paper, we apply stop-loss stop-profit mechanisms to verify two new simple strategies, BuyOp. BuyHi.SellLo. strategy. We back-test these Taiwan Stock Exchange Capitalization Weighted Index Futures (TAIEX Futures) during period from May 25, 2010 August 19, 2015. compare numerical results its profits losses through various thresholds thresholds, existence effect applying Besides, analyze repeated simulations random trades mechanisms. Our reveal that there exist TAIEX Futures, which verifies inefficiency inefficiency. addition, techniques are also applied commodities, such AAPL NASDAQ, IBM, GOOG NYSE, and, TSMC TPE, so on. Surprisingly, not all stocks experimental some or markets more suitable for mean-reverse Finally, propose technique quantify using Jensen---Shannon divergence.