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Contribution Details

Type Journal Article
Scope Discipline-based scholarship
Title Multi-asset scenario building for trend-following trading strategies
Organization Unit
  • Andreas Thomann
Item Subtype Original Work
Refereed Yes
Status Published in final form
  • English
Journal Title Annals of Operations Research
Publisher Springer
Geographical Reach international
ISSN 0254-5330
Volume 299
Number 1-2
Page Range 293 - 315
Date 2021
Abstract Text This paper presents a new method for improving the performance of trend-following trading strategies. This new approach improves the inherent problem of trend-following strategies, which is their lagging signals. We simulate alternative price paths of financial assets using a modification of a distribution-free, semi-parametric approach that combines a GARCH-type process with historical simulation. These simulated price paths are used to construct and optimize trend-following trading strategies. The study is conducted in a multi-asset environment. Our empirical results demonstrate the superior performance for multiple assets on a large set of performance metrics compared to widely applied trend-following trading strategies. The results are robust to variations in input specifications, such as tested time and lookback period, number of simulated price paths, and price steps per simulation, but also in terms of trading strategy calibration and market positioning (long-only, long–short, short-only).
Digital Object Identifier 10.1007/s10479-020-03547-2
Other Identification Number merlin-id:19231
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