scholarly journals Commodity Future Money Flows Trading Strategies Based on HMM

2017 ◽  
Vol 5 (4) ◽  
pp. 16
Author(s):  
Jishan Ma ◽  
Yuanbiao Zhang
Keyword(s):  
Capital Flows ◽  
Moving Average ◽  
Volume Index ◽  
Total Capital ◽  
Money Flows ◽  
Price Earnings Ratio ◽  
Distribution Index ◽  
Stop Loss ◽  
Commodity Future ◽  
Capital Return

This paper aims to establish a quantitative trading strategy of commodity futures based on market money flows. Firstly, we use Accumulation/Distribution index to respectively construct the CMF index which represents the ratio of total capital flows to total volume, and the CHO index which represents the exponential moving average of the cumulative capital flows. In view of the different flows of money between buyers and sellers, the establishment of the transaction net volume index VTL is used to describe respectively the flow of money between buyers and sellers. On this basis, the HMM model is introduced, and the above three kinds of indexes are combined to choose the time, at which we execute the stop-loss operation and risk control. Finally, all performance index values of the strategy are as follows: the rate of initial capital return is 193.77%, the annual rate of return is 99.86%, the maximum retracement rate is 15.73%, the Sharpe rate is 2.05 and the price earnings ratio is 4.01.

Capital Flows and Leverage

2020 ◽  
Vol 12 (1) ◽  
pp. 833-846
Author(s):  
Şebnem Kalemli-Özcan ◽  
Jun Hee Kwak
Keyword(s):  
Capital Flows ◽  
Hybrid Approach ◽  
Empirical Literature ◽  
Complete Understanding ◽  
Credit Booms ◽  
Country Level ◽  
Total Capital ◽  
Domestic Debt ◽  
Exchange Rate Movements ◽  
The Relationship

This article surveys the literature on capital flows and leverage. We summarize results from the existing papers and document new facts. The empirical literature takes both a macro and a micro approach. The macro approach focuses on aggregate data both over time and in the cross-section of countries, and it documents a positive correlation between total capital flows, build-ups in terms of external and domestic debt to GDP ratio, and financial crises. The micro approach uses granular data and focuses on leverage at the firm and bank level and associates this leverage with country-level capital flows and related exchange rate movements. We document new facts from a hybrid approach that focuses on the relationship between sector-level capital flows and sectoral leverage. We highlight the interconnections between different approaches and argue that harmonization of the macro and micro approaches can yield a more complete understanding of the effect of capital flows on country-, sector-, and firm- and bank-level leverage associated with credit booms and busts.

scholarly journals Futures Quantitative Trading Strategies Based on Market Capital Flows

2018 ◽  
Vol 5 (2) ◽  
pp. 175
Author(s):  
QiaoXu Qin ◽  
GengJian Zhou ◽  
WeiZhou Lin
Keyword(s):  
Capital Flows ◽  
Turnover Rate ◽  
Futures Market ◽  
Trading Strategy ◽  
Trading Strategies ◽  
High Turnover ◽  
Back Testing ◽  
Quantitative Trading Strategies ◽  
Stop Loss ◽  
Futures Funds

The purpose of this paper is to establish a futures quantitative trading strategy based on the characteristics of capital flows in the futures market and the factors that influence the Futures rate of return. Firstly, PCA and logistic regression are used as the theoretical basis to analyze the characteristics of future futures with high turnover rate and futures yield in the future, and summarize the characteristics of rotation, continuity and similarity of the capital flow in the futures market. Then combining with the characteristics of the flow of futures funds and the idea of taking profit and stop loss, we establish the quantitative trading strategy of futures. Using the partial futures data from 2014-2015 for back testing, the strategy returns better and provides a new investment perspective for the futures market investors.

International capital flows with safe assets accumulation

2020 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Ly Dai Hung
Keyword(s):  
Economic Growth ◽  
Open Economy ◽  
Capital Flows ◽  
International Capital Flows ◽  
International Capital ◽  
Productivity Level ◽  
Content Type ◽  
Total Capital ◽  
The Impact

PurposeThe author studies the role of safe assets accumulation in shaping the pattern of international capital flows.Design/methodology/approachThe author combines a theoretical model and the empirical analysis. The model is a two-country open economy, while the evidence is based on a fixed-effect regression on a panel of 19 countries of the eurozone.FindingsIn an open two-country economy, a positive productivity shock raises both mean and variance of wealth accumulation rate, then, leading to a greater holding of safe assets for risk-sharing motivation. Upon financial integration, the shock can induce the outflows of net total capital. The evidence of 19 eurozone countries confirms the theory and also uncovers that the safe assets (bonds) are the dominant driver of cross-border capital flows within the eurozone.Research limitations/implicationsThe model can be extended to account for the impact of safe assets on the economic growth, then, analyzes the role of safe assets within financial globalization. Taking into account the impact of safe assets on the open-economy economic growth can be the next step to approach the issue.Practical implicationsThe paper also provides important policy implication. Since a higher productivity level can raise the outflows of net total capital through the accumulation of foreign safe assets, an economy needs to increase its supply of safe asset along with upgrading its domestic productivity level. This combination is important for the long-run capital accumulation and economic growth of an economy with an increasing path of the productivity level.Originality/valueThe paper seeks a balance between theory and evidence on international capital flows. Moreover, the paper bridges the gap between the literature on international capital flows and the literature on safe assets. And the paper also focuses on the economies of the eurozone.

scholarly journals Trading Performance Analysis: A Comparisons Between the Original MA Crossover and Modified MA Crossover Strategy

2018 ◽  
pp. 933-941
Author(s):  
Afiruddin Tapa ◽  
Mohd Hasimi Yaacob ◽  
Ahmad Husni Hamzah ◽  
Yean Soh Chuen
Keyword(s):  
Performance Analysis ◽  
Moving Average ◽  
Technical Analysis ◽  
Lower Number ◽  
Analysis Approach ◽  
Trading Rule ◽  
Trading Rules ◽  
Stop Loss

This paper empirically analyses the Trading Performance by using technical analysis approach. The original moving-average (MA) crossover strategy as compare with the modified moving-average crossover strategy. The modified trading rules are the rules that been established to trading rules such as entry rule, exit rule, holding rule, and stop-loss rule. The results show The MAshort of 10-period for modified strategy underperform the original strategy, except for MA (10,100). The modified MA (20,200), (50,100), (50,200), and (100,200) underperform the original strategy. Only modified MA (20,50) and (20,100) outperform the original strategy. The outperformance and underperformance due to the stricter additional trading rule that reduces trading signals, and thus lower number of trades.

scholarly journals Fundamental Analysis VS Technical analysis: The Comparison of Two Analysis in Malaysia Stock Market

2018 ◽  
Vol 1 (1) ◽  
Author(s):  
Shaharudin Jakpar ◽  
Michael Tinggi ◽  
Akmal Hisham Tak ◽  
Wen Yi Chong
Keyword(s):  
Stock Return ◽  
Manufacturing Industry ◽  
Moving Average ◽  
Technical Analysis ◽  
Fundamental Analysis ◽  
Food Manufacturing ◽  
Price Earnings Ratio ◽  
Asset Turnover ◽  
Positive Return ◽  
Food Manufacturing Industry

This study is conducted to analyse the credibility of the fundamental analysis and technical analysis on predicting the stock return and compare both models to determine which model is more credible to be used as a good trading strategy by investors. The study is based on 80 companies selected from Bursa Malaysia in the food manufacturing industry in the main market from the year of 2012 to 2016. The stock return is used to measure whether both analyses are able to forecast and generate the positive return. Net profit margin, price earnings ratio and total asset turnover are used as fundamental indicators while moving average convergence divergence is used as technical analysis indicators. In order to test the significance of both model on stock return, panel regression models are applied in this study. The result shows that although both model can be used to generate positive return, technical analysis did not outperform fundamental analysis in the food manufacturing industry in Bursa Malaysia.

scholarly journals POLA DINAMIS DISTRIBUSI BERAS UNTUK OPERASI PASAR DOlOG BENGKUlU

2006 ◽  
Vol 3 (1) ◽  
pp. 7-23
Author(s):  
Nurhayatin Nufus
Keyword(s):  
Distribution Pattern ◽  
Moving Average ◽  
Random Component ◽  
Rice Distribution ◽  
Lower Index ◽  
The People ◽  
Market Operation ◽  
Distribution Index ◽  
Rice Policy ◽  
Planting Season

This research  aimed  to analyze  the  moving  average  of rice distribution  and the  effect  of four decompositon  components  for market operation  along  1995 - 2001 period.  The results show that dinamic distribution  pattern  based  on syclicaJ trend tends  to increasing  along with consumption.  There were two clearly variations  first quarter / and IV with higher distribution  index and quarter 1/  and III with lower index. Under  quarter  I and IV known  as deficit  the planting  season,  while quarter  1/   and III known as harvest season where as the people has plenty of stock in cyl/os. Finally the random component (/) was iffluenced much to the distribution pattern,it  was relevance  to goverment policy to ruie the rice policy and distrbution.Key words :dinamic pattern, rice distribution,  dolog

scholarly journals Comparison of the Return of Investment from Securities Screening Using Financial Ratios and Security Trading Methods: Evidence from Thailand

2021 ◽  
Vol 56 (1) ◽  
Author(s):  
Chonnawat Chunhawiksit ◽  
Sirichai Deelers ◽  
Waraton Chitadisai ◽  
Suwatjana Thammachot ◽  
Somnuk Aujirapongpan ◽  
...  
Keyword(s):  
Stock Exchange ◽  
Moving Average ◽  
Technical Analysis ◽  
Financial Ratios ◽  
Stock Selection ◽  
Return On Equity ◽  
Analysis Tools ◽  
Stock Exchange Of Thailand ◽  
Price Earnings Ratio ◽  
Trading Model

This research aims to study investment in the Stock Exchange of Thailand based on historical financial ratios, namely, the return on equity (ROE) and price-earnings ratio (P/E), and screening securities together with buy-and-sell timing using technical analysis tools for stock selection to build a stock trading model. This research utilizes financial statement data from the companies listed in the Stock Exchange of Thailand from 2014 to 2018, selecting the stocks to invest using Greenblatt's Magic Formula and identifying buy-and-sell timing by a simple moving average (SMA). The stocks were reselected annually from 2014 to 2018. The study compared returns from 3 methods; it was found that the portfolio that identified buy-and-sell timing by technical analysis tools, the 6-month simple moving average, had the best performance, followed by the 12-month simple moving average and buy-and-hold portfolio, consecutively.

scholarly journals Capital Flows and Growth in Emerging Market Economies: The Case of Turkey

2013 ◽  
Author(s):  
Ercan Uygur
Keyword(s):  
Capital Flows ◽  
Emerging Market ◽  
Capital Inflows ◽  
Policy Implications ◽  
Emerging Market Economies ◽  
Market Economies ◽  
Long Run ◽  
Total Capital ◽  
Advanced Economies ◽  
Recent Developments

Since May 2013, we have witnessed sudden stops and large reversals in the flow of capital to the emerging market economies (EMEs). What we have witnessed is the reversal of the surge of capital that started in 2009 from the advanced economies to the emerging ones, as has been expected. The episodes of capital surges and retrenchments have been observed repeatedly in the last three decades. In this period, capital flows across countries have increased dramatically, but their fluctuations and volatility have been even more dramatic. Furthermore, these flows have played an increasingly important role in the business cycles of both advanced economies and EMEs and during episodes of crises. Why then, in spite of cycles and crises, there is free flow of capital to EMEs? One answer is that these flows might be used to finance investments and to contribute to the long run growth of the EMEs. The basic aim of this paper is to examine the validity of this assertion. Thus, the paper attempts to establish the effect of capital flows on the growth performance of the EMEs, with special reference to Turkey. After a survey of research on the subject, the paper first provides an account of the recent developments in international capital flows. The paper concentrates more on capital flows to Turkey in terms of categories, namely, foreign direct investment, portfolio investment and credit flows. The paper then empirically investigates the effect of these three categories and total capital inflows on the growth of the EMEs. Policy implications of the findings are also discussed.

scholarly journals Automated trading systems’ evaluation using d-Backtest PS method and WM ranking in financial markets

2020 ◽  
Vol 17 (2) ◽  
pp. 198-215
Author(s):  
Dimitrios Vezeris ◽  
Themistoklis Kyrgos ◽  
Ioannis Karkanis ◽  
Vasiliki Bizergianidou
Keyword(s):  
Financial Markets ◽  
Moving Average ◽  
The European Union ◽  
Trading Systems ◽  
Technical Indicators ◽  
Back Testing ◽  
Trading Period ◽  
Operational Program ◽  
Individual Traders ◽  
Stop Loss

Given the popularity and propagation of automated trading systems in financial markets among institutional and individual traders in recent decades, this work attempts to compare and evaluate such ten systems based on different popular technical indicators in combination – for the first time – with the d-Backtest PS method for parameter selection. The systems use the technical indicators of Moving Averages (MA), Average Directional Index (ADX), Ichimoku Kinko Hyo, Moving Average Convergence/Divergence (MACD), Parabolic Stop and Reverse (SAR), Pivot, Turtle and Bollinger Bands (BB), and are enhanced by Stop Loss Strategies based on the Average True Range (ATR) indicator. Improvements in the speed of the back-testing computations used by the d-Backtest PS method over weekly intervals allowed examining all systems on a 3.5 years trading period for 7 assets in financial markets, namely EUR/USD, GBP/USD, USD/JPY, USD/CHF, XAU/USD, WTI, and BTC/USD. To evaluate the systems more holistically, a weighted metric is introduced and examined, which, apart from profit, takes into account more factors after normalization like the Sharpe Ratio, the Maximum Drawdown and the Expected Payoff, as well as a newly introduced Extended Profit Margin factor. Among the automated systems examined and evaluated using the weighted metric, the Adaptive Double Moving Average (Ad2MA) system stands out, followed by the Adaptive Pivot (AdPivot), and the Adaptive Average Directional Index (AdADX) systems. AcknowledgmentsWe would like to thank Dr. Christos Schinas for his time and invaluable guidance towards the methodology of the weighted metric. We would also like to thank Michalis Foulos for the hardware setup and support and Nektarios Mitakidis for his contribution to the representation of the results.This research has been co-financed by the European Union and Greek national funds through the Operational Program Competitiveness, Entrepreneurship and Innovation, under the call RESEARCH – CREATE – INNOVATE (project code: T1EDK-02342).

scholarly journals Dynamic stop-loss rules as universal performance enhancers

2018 ◽  
Vol 15 (2) ◽  
pp. 1-16
Author(s):  
Dimitrios Thomakos ◽  
Rafael Yahlomi
Keyword(s):  
Empirical Evidence ◽  
Moving Average ◽  
Market Crashes ◽  
Good Market ◽  
Increased Risk ◽  
Weighted Portfolio ◽  
Performance Enhancers ◽  
Bond Indices ◽  
Asset Classes ◽  
Stop Loss

This paper provides ample empirical evidence, using US equity and bond indices, why daily stop-loss rules can be considered as viable performance enhancers. While a longer-term stop-loss rule can help investors to avoid market crashes by being out of the market, investors may obviously lose on the up-market days too. Furthermore, a shorter-term stop-loss rule may not miss the good market days by allowing investors to stay for a longer time in the market at the obvious expense of increased risk and higher drawdowns. This paper illustrates how daily stop-loss rules can significantly outperform the buy and hold equity and bond benchmarks, their equally weighted portfolio and the trend following strategy, simple moving average, which is driven from those asset classes – for both long and short positions. The results are robust to a variety of variations on the initial theme and it’s shown that performance enhancements can come from a variety of other sources related to a static stop-loss rule.

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