Abstract

JIMENEZ PRECIADO, Ana Lorena; CRUZ AKE, Salvador  and  GURROLA RIOS, César. Huelum Trading System: A Low-Frequency Algorithm Proposal. Rev. mex. econ. finanz [online]. 2019, vol.14, n.4, pp.651-669.  Epub Feb 21, 2020. ISSN 2448-6795.  https://doi.org/10.21919/remef.v14i4.435.

This paper aims to build a set of algorithmic trading strategies to capture the persistence of financial series. HUELUM Trading System is proposed to make algorithmic trading in a low-frequency environment and is tested with the Exchange Traded Fund (ETF) iShares NAFTRAC daily prices. HUELUM Trading System includes one mean and one trend technical analysis indicators which are compared to a buy & hold strategy as a benchmark. The principal contribution of this work is that HUELUM Trading System can adapt to NAFTRAC, capturing its behavior, trends, and persistence or momentum. HUELUM is validated through a rolling walk forward and works with any security as long as it has Open, High Low Close (OHLC) prices. When we are ina market with little liquidity and deepness, HUELUM gives accurate buy and sell signals compared to a buy & hold strategy and reduces potential equity losses.

Keywords : algorithmic trading; low-frequency; technical analysis; HUELUM Trading System; G10; G12; G14.

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