Analysis of stochastic technical trading algorithms

Markus Höchstötter, Mher M. Safarian and Anna Krumetsadik

No 91, Working Paper Series in Economics from Karlsruhe Institute of Technology (KIT), Department of Economics and Management

Abstract: We apply the well-known CUSUM, the Girshick-Rubin, the Graversen-Peskir- Shiryaev and an improved alteration of the Brodsky-Darkovsky algorithm as trading strategies involving only mutually exclusive long positions in cash and the DAX at Xetra intraday auction prices. We select optimal pairs of fixed thresholds for up- and downmovements from a pre-defined two-dimensional grid, hence, admitting asymmetric intervals. We show that under three different scenarios for transaction costs, the improved Brodsky-Darkovsky technique not only outperforms the passive investment in the DAX but also the other three presented algorithms.

Keywords: CUSUM; Girshick-Rubin; Graversen-Peskir-Shiryaev; Brodsky-Darkovsky; trading algorithm; DAX (search for similar items in EconPapers)
Date: 2016
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:kitwps:91

DOI: 10.5445/IR/1000055429

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