Barrier Trading Algorithms

Graham Giller

Chapter 5 in Essays on Trading Strategy, 2023, pp 95-127 from World Scientific Publishing Co. Pte. Ltd.

Abstract: In Essay 3, I commented that the exact holding function for the Laplace distribution can, in some way, be approximated by a step function. Many traders, in practice, eschew “fancy” portfolio construction methods [19] for such simple holding functions, yet little analytical work is presented on their efficiency. In this essay, I will study these methods analytically and present critical results for traders at any scale.

Keywords: Stock Market; Stock Trading; Decision Theory; Optimal Trading; Trading Strategy; Finance; Optimization; Portfolio Strategy; Modern Portfolio Theory; Kelly Criterion; Betting Strategy; Risk Management; Tail Risk; Investment Management; Performance Measurement; Sharpe Ratio; Trading Theory; Investment Theory (search for similar items in EconPapers)
JEL-codes: G1 G11 (search for similar items in EconPapers)
Date: 2023
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