A dynamic trading rule based on filtered flag pattern recognition for stock market price forecasting

作者：

Highlights：

• We propose an automatic and dynamic trading rule based on flag pattern recognition.

• The strategy does not depend on the ability of the trader to guess the best configuration of the trading rule.

• We include several filters for the trades, one of them considering the EMA indicator in short and medium timeframes.

• The trading rule is applied on a large intraday database for the DJIA index.

• We can conclude that our proposal is far superior to the previous flag pattern strategies as regards both profitability and risk.

摘要

•We propose an automatic and dynamic trading rule based on flag pattern recognition.•The strategy does not depend on the ability of the trader to guess the best configuration of the trading rule.•We include several filters for the trades, one of them considering the EMA indicator in short and medium timeframes.•The trading rule is applied on a large intraday database for the DJIA index.•We can conclude that our proposal is far superior to the previous flag pattern strategies as regards both profitability and risk.

论文关键词：Financial markets,Technical analysis,Chart pattern,Exponential moving average,Trading system,Automatic trading

论文评审过程：Received 7 January 2017, Revised 3 March 2017, Accepted 13 March 2017, Available online 16 March 2017, Version of Record 31 March 2017.

论文官网地址：https://doi.org/10.1016/j.eswa.2017.03.028