{"title":"简单日内交易策略的研究","authors":"Chrilly Donninger","doi":"10.2139/ssrn.2488539","DOIUrl":null,"url":null,"abstract":"This working paper investigates the performance of several published simple intraday trading strategies for S&P-500 futures. The general result is: The strategies do not work as advertised under realistic trading assumptions. The paper discusses some possible refinements. It is important to restrict the rules to specific market regimes. An appropriate regime-classifier is the Implied-Volatility-Term-Structure (IVTS) developed in previous working papers. The best strategy under investigation is a set of rules proposed by the Sibyl-Fund trader Siddharth Bhatia. But overall it seems to be difficult to develop a simple and attractive intraday strategy.","PeriodicalId":177064,"journal":{"name":"ERN: Other Econometric Modeling: Derivatives (Topic)","volume":"22 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2014-08-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"1","resultStr":"{\"title\":\"An Investigation of Simple Intraday Trading Strategies\",\"authors\":\"Chrilly Donninger\",\"doi\":\"10.2139/ssrn.2488539\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"This working paper investigates the performance of several published simple intraday trading strategies for S&P-500 futures. The general result is: The strategies do not work as advertised under realistic trading assumptions. The paper discusses some possible refinements. It is important to restrict the rules to specific market regimes. An appropriate regime-classifier is the Implied-Volatility-Term-Structure (IVTS) developed in previous working papers. The best strategy under investigation is a set of rules proposed by the Sibyl-Fund trader Siddharth Bhatia. But overall it seems to be difficult to develop a simple and attractive intraday strategy.\",\"PeriodicalId\":177064,\"journal\":{\"name\":\"ERN: Other Econometric Modeling: Derivatives (Topic)\",\"volume\":\"22 1\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2014-08-28\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"1\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"ERN: Other Econometric Modeling: Derivatives (Topic)\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.2139/ssrn.2488539\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"ERN: Other Econometric Modeling: Derivatives (Topic)","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2139/ssrn.2488539","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
An Investigation of Simple Intraday Trading Strategies
This working paper investigates the performance of several published simple intraday trading strategies for S&P-500 futures. The general result is: The strategies do not work as advertised under realistic trading assumptions. The paper discusses some possible refinements. It is important to restrict the rules to specific market regimes. An appropriate regime-classifier is the Implied-Volatility-Term-Structure (IVTS) developed in previous working papers. The best strategy under investigation is a set of rules proposed by the Sibyl-Fund trader Siddharth Bhatia. But overall it seems to be difficult to develop a simple and attractive intraday strategy.
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