PT - JOURNAL ARTICLE AU - Raúl Gómez-Martínez AU - Carmen Orden-Cruz AU - María Luisa Medrano-García TI - Quantitative Trading Using Artificial Intelligence on Trend-Following Indicators: An Example in 2020 AID - 10.3905/joi.2022.1.235 DP - 2022 Nov 30 TA - The Journal of Investing PG - 35--49 VI - 32 IP - 1 4099 - https://pm-research.com/content/32/1/35.short 4100 - https://pm-research.com/content/32/1/35.full AB - Currently, algorithmic trading systems are one of the biggest challenges for machine learning (ML) and artificial intelligence (AI). In this article, an AI model is proposed using predictor variables based on trend-following momentum indicators. Using a data sample of highly traded futures contracts and their technical indicators, the results show a predictive capacity greater than 50% of the market trend of the next session. However, ML did not allow a profitable algorithmic trading system during the testing process.