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A strategy for trading the S&P 500 futures market

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  • Edward Olszewski

Abstract

A system for trading the S&P 500 futures market is proposed. The system is applied to S&P 500 futures data during the period from September 14, 1987, to September 27, 1999. The system uses a momentum oscillator for generating entry or exit prices. In addition, the system uses another indicator for predicting the direction of the trend. When only the oscillator is used for selecting trades, the system is not, in general, as good as buy-and-hold. However, when the trend indicator is used as a filter, the trading system is, at least, as good as buy-and-hold. Copyright Springer 2001

Suggested Citation

  • Edward Olszewski, 2001. "A strategy for trading the S&P 500 futures market," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 25(1), pages 62-79, March.
    • Handle: RePEc:spr:jecfin:v:25:y:2001:i:1:p:62-79
    DOI: 10.1007/BF02759687
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    References listed on IDEAS

    as
    1. E.A. Olszewski, 1998. "Assessing inefficiency in the futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 18(6), pages 671-704, September.
    2. Henriksson, Roy D & Merton, Robert C, 1981. "On Market Timing and Investment Performance. II. Statistical Procedures for Evaluating Forecasting Skills," The Journal of Business, University of Chicago Press, vol. 54(4), pages 513-533, October.
    3. Parkinson, Michael, 1980. "The Extreme Value Method for Estimating the Variance of the Rate of Return," The Journal of Business, University of Chicago Press, vol. 53(1), pages 61-65, January.
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