Abstract
It is discovered that the CUSUM techniques often used in the manufacturing industry can be adapted to yield a trading strategy in the financial market. The familiar filter trading strategy in finance is found to be a particular case of CUSUM procedures. A more general form of the CUSUM techniques will yield new trading strategies which have intuitive appeals. Trading characteristics of such strategies will be investigated using CUSUM techniques.
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Lam, K., Yam, H.C. Cusum Techniques for Technical Trading in Financial Markets. Asia-Pacific Financial Markets 4, 257–274 (1997). https://doi.org/10.1023/A:1009604804110
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DOI: https://doi.org/10.1023/A:1009604804110