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| Author: | Dempster, M.A.H. Jones, C.M. |
| Title: | Can channel pattern trading be profitably automated? |
| Journal: | European Journal of Finance
2002 : SEP, VOL. 8:3, p. 275-301 |
| Index terms: | Stock markets Trading Statistical methods Models |
| Language: | eng |
| Abstract: | Financial markets, such as the global foreign exchange (FX) market, often exhibit trending behaviour. Within such trends, the market level oscillates with changes in market consensus. Continued oscillations of this type result in the formation of wave patterns within the underlying trend known as channels. A sample space of such channels has been constructed from a set of U.S. dollar / British pound Spot FX tick data from 1989-1997 using pattern recognition algorithms and the profitability of trading using such patterns has been estimated. Results of this analysis show that there exist statistically significant links between the channels' attributes and profitability. |
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