RT Journal Article
SR Electronic
T1 Quantitative Trading Using Artificial Intelligence on Trend-Following Indicators: An Example in 2020
JF The Journal of Investing
FD Institutional Investor Journals
SP 35
OP 49
DO 10.3905/joi.2022.1.235
VO 32
IS 1
A1 Raúl Gómez-Martínez
A1 Carmen Orden-Cruz
A1 María Luisa Medrano-García
YR 2022
UL https://pm-research.com/content/32/1/35.abstract
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.