Low-lag-Trendline

Low-lag Trendline & timing strategy on futures

Idea

The method of Low-lag Trendline regard price as signal. So many signal-processing method are applied to analyse the futures, such as Fourier transform(FT). If you need more details,please refer to this report 低延迟趋势线与交易性择时

Model

I use a VBA program to implement this strategy(Check here). I use low-frequency(day-level) to test this strategy.Totally, I test nine kinds of commodity futures, one index and one stock.Some results can be shown as follows.

Result

• PTA

• RB