Pakar Iklan The opportunity cost of Technical Trading Rules in the Forex Market : TTRs are typically rules of thumb that relate a certain information variable, the technical trading signal, to a trading position. In other words, a TTR specifies a mapping from the time t signal zt to an advised trading position αCH (zt), expressed as a percentage of the agent’s initial wealth. A typical feature is the discontinuity in the mapping αCH(zt). We assume that the trading signal has been standardized such that the trading rule can be described as:
Obviously, the optimal portfolio composition might differ from the one implied by the
TTR. As noted by Skouras (2001a), utility-based optimal trading rules typically depend on various factors, including the level of risk aversion and rational expectations about the conditional return distribution. Adopting a standard mean-variance approach, the optimal trading strategy for a rational, risk averse, liquidity constrained agent can be written as the solution to the following problem
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