A new trend-following indicator: using SSA to design trading rules

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dc.creatorMichel Carlo Rodrigues Leles
dc.creatorLeonardo Amaral Mozelli
dc.creatorHomero Nogueira Guimarães
dc.date.accessioned2025-04-02T15:15:55Z
dc.date.accessioned2025-09-09T01:25:58Z
dc.date.available2025-04-02T15:15:55Z
dc.date.issued2017
dc.identifier.doihttps://doi.org/10.1142/S021947751750016X
dc.identifier.issn0219-4775
dc.identifier.urihttps://hdl.handle.net/1843/81225
dc.languageeng
dc.publisherUniversidade Federal de Minas Gerais
dc.relation.ispartofFluctuation and noise letters
dc.rightsAcesso Restrito
dc.subjectAnálise técnica
dc.subjectTransformações (Matemática)
dc.subject.otherSingular Spectrum Analysis, Technical Analysis, trend-following trading rules
dc.titleA new trend-following indicator: using SSA to design trading rules
dc.typeArtigo de periódico
local.citation.issue2
local.citation.spage1750016
local.citation.volume16
local.description.resumoSingular Spectrum Analysis (SSA) is a non-parametric approach that can be used to decompose a time-series as trends, oscillations and noise. Trend-following strategies rely on the principle that financial markets move in trends for an extended period of time. Moving Averages (MAs) are the standard indicator to design such strategies. In this study, SSA is used as an alternative method to enhance trend resolution in comparison with the traditional MA. New trading rules using SSA as indicator are proposed. This paper shows that for the Down Jones Industrial Average (DJIA) and Shangai Securities Composite Index (SSCI) time-series the SSA trading rules provided, in general, better results in comparison to MA trading rules.
local.publisher.countryBrasil
local.publisher.departmentENG - DEPARTAMENTO DE ENGENHARIA ELÉTRICA
local.publisher.departmentENG - DEPARTAMENTO DE ENGENHARIA ELETRÔNICA
local.publisher.initialsUFMG
local.url.externahttps://www.worldscientific.com/doi/abs/10.1142/S021947751750016X

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