摘要：This work introduces a new approximation of the flag price pattern recognition. A trading rule which provides positive risk-adjusted returns for intraday data of the Dow Jones Industrial Average Index is developed. In order to mitigate the ata snooping problem we use a data set of more than 90,000 observations, results are reported over 96 different configurations of the trading rule parameters. Results gathered from the whole sample confirm that the trading rule provides a positive return, even after considering the risk. Moreover, it beats the benchmark in the mean variance sense.
其他摘要：This work introduces a new approximation of the flag price pattern recognition. A trading rule which provides positive risk-adjusted returns for intraday data of the Dow Jones Industrial Average Index is developed. In order to mitigate the ata snooping problem we use a data set of more than 90,000 observations, results are reported over 96 different configurations of the trading rule parameters. Results gathered from the whole sample confirm that the trading rule provides a positive return, even after considering the risk. Moreover, it beats the benchmark in the mean variance sense.
关键词：Regla de trading;data snooping;índice Dow Jones;reconocimiento de patrones;análisis técnico;Regra de trading;data snoopin;índice Dow Jones;reconhecimento de padrões;análise técnica
