A Boosting Approach for Automated Trading
Journal of Trading, Vol. 2, No. 3, pp. 84-96.
10 Pages Posted: 17 Oct 2006 Last revised: 20 Feb 2013
Date Written: 2007
This paper describes an algorithm for short-term technical trading. The algorithm was tested in the context of the Penn-Lehman Automated Trading (PLAT) competition. The algorithm is based on three main ideas. The first idea is to use a combination of technical indicators to predict the daily trend of the stock, the combination is optimized using a boosting algorithm. The second idea is to use the constant rebalanced portfolios within the day in order to take advantage of market volatility without increasing risk. The third idea is to use limit orders rather than market orders in order to minimize transaction costs.
Keywords: Automated trading, machine learning, algorithmic trading, boosting
JEL Classification: C49, C63, G24
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