Sökning: "Opening Range Breakout strategies"

Hittade 2 avhandlingar innehållade orden Opening Range Breakout strategies.

1. 1. On the returns of trend-following trading strategies

   Författare :Christian Lundström; Tomas Sjögren; Jussi Nikkinen; Umeå universitet; []
   Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Bootstrap; Commodity Trading Advisor funds; Contraction-Expansion principle; Crude oil futures; Futures trading; Opening Range Breakout strategies; S P 500 futures; Technical analysis; Time series momentum; Time-varying market inefficiency; nationalekonomi; Economics;

   Sammanfattning : Paper [I] tests the success rate of trades and the returns of the Opening Range Breakout (ORB) strategy. A trader that trades on the ORB strategy seeks to identify large intraday price movements and trades only when the price moves beyond some predetermined threshold. LÄS MER

3. 2. On the profitability of momentum strategies and optimal leverage rules

   Författare :Christian Lundström Tjurhufvud; Tomas Sjögren; Sami Vähämaa; Umeå universitet; []
   Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Bootstrap; Exchange Traded Products; Kelly criterion; Money management; Opening Range Breakout Strategies; Optimal fraction criterion; Time series momentum; Economics; nationalekonomi;

   Sammanfattning : This thesis consists of an introductory part and five self-contained papers related to the profitability of momentum strategies and optimal leverage rules.Paper [I] tests the success rate of trades and the returns of the Opening Range Breakout (ORB) day trading strategy. LÄS MER