Excellence in Research and Innovation for Humanity
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@article{(International Science Index):http://waset.org/publications/13839,
  title    = {Downtrend Algorithm and Hedging Strategy in Futures Market},
  author    = {S. Masteika and  A.V. Rutkauskas and  A. Tamosaitis},
  country   = {},
  institution={},
  abstract  = {The paper investigates downtrend algorithm and
trading strategy based on chart pattern recognition and technical
analysis in futures market. The proposed chart formation is a pattern
with the lowest low in the middle and one higher low on each side.
The contribution of this paper lies in the reinforcement of statements
about the profitability of momentum trend trading strategies.
Practical benefit of the research is a trading algorithm in falling
markets and back-test analysis in futures markets. When based on
daily data, the algorithm has generated positive results, especially
when the market had downtrend period. Downtrend algorithm can be
applied as a hedge strategy against possible sudden market crashes.
The proposed strategy can be interesting for futures traders, hedge
funds or scientific researchers performing technical or algorithmic
market analysis based on momentum trend trading.},
    journal   = {International Journal of Social, Behavioral, Educational, Economic, Business and Industrial Engineering},  volume    = {6},
  number    = {10},
  year      = {2012},
  pages     = {2549 - 2554},
  ee        = {http://waset.org/publications/13839},
  url       = {http://waset.org/Publications?p=70},
  bibsource = {http://waset.org/Publications},
  issn      = {PISSN:2010-376X, EISSN:2010-3778},
  publisher = {World Academy of Science, Engineering and Technology},
  index     = {International Science Index 70, 2012},
}