Abstract:

The paper works with analysis of this investment strategy in terms of robustness parameters to enter the speculative position, the output of speculative positions, volatility and time filter. The proposed investment strategy is using the methods of robustness tests, which are based on testing on different data then were data used for optimization of strategies. Proposed strategy is tested and validated for time period from November 2011 to May 2012. The financial instrument for analysis and application of this strategy should be selected with regarding to sufficient liquidity. Liquidity ensures the participation of varying financial entities, which enter to the market for buying and selling. That is a main reason of fundamental relevance of this strategy. The input data are represented by a price of financial instrument Standard and Poor's (S&P) E-mini S&P 500 traded on the Globex as futures contract quoted in U.S. dollars. The price movements of financial instruments are quantified to price bars at time intervals of one minute, which can be taken as a sufficiently detailed data for analysis.  Each of speculative position is held in time interval from minutes to hours and always before the end of the main trading session is all open positions closed. This type of short-term speculative strategy is defined as intraday trading investment strategy. Intraday trading requires low commissions for more efficiency of investment strategies.