{"id":43777,"date":"2025-12-27T12:11:10","date_gmt":"2025-12-27T11:11:10","guid":{"rendered":"http:\/\/david.melich"},"modified":"2025-12-27T12:11:10","modified_gmt":"2025-12-27T11:11:10","slug":"sample-strategy-1-short-term-reversal-with-futures-2","status":"publish","type":"post","link":"https:\/\/vvv.quantpedia.com\/es\/sample-strategy-1-short-term-reversal-with-futures-2\/","title":{"rendered":"Sample strategy #1 &#8211; Short Term Reversal with Futures"},"content":{"rendered":"<p>\n\t&nbsp;&nbsp; Recent academic research shows that short term reversal works not only in equity market but it is also applicable with futures. Research also suggests that trading volume contains information about future market movements. This &quot;forecastability&quot; can be enhanced with open interest as it provides an additional measure of trading activity. Therefore this contrarian strategy is most profitable if it is implemented on high-volume low-open interest contracts.<\/p>\n<p>\n\t&nbsp;&nbsp; The source paper written by <strong>Wang and Yu<\/strong> can be found on the following web page: <a href=\"http:\/\/tcnh.ntt.edu.vn\/images\/futures\/6.pdf\">http:\/\/tcnh.ntt.edu.vn\/images\/futures\/6.pdf<\/a><\/p>\n<p>\n\t&nbsp;&nbsp; Indicative <strong>performance<\/strong> is <strong>close to 30%<\/strong>. Estimated <strong>volatility<\/strong> isn&#39;t extra low &#8211; <strong>around 31%<\/strong>, but this strategy still offers an atractive <strong>Sharpe Ratio<\/strong> of <strong>0.82<\/strong>.<\/p>\n<p>\n\t&nbsp;&nbsp; Our strategy overview with <strong>extracted trading rules<\/strong> and hypothetical <strong>performance chart with probability bands<\/strong> can be accessed here: <a href=\"http:\/\/\\\/\\\/new-fmhwbzh6ghd9hede.swedencentral-01.azurewebsites.net\/Screener\/Details\/71\">http:\/\/\\\/\\\/new-fmhwbzh6ghd9hede.swedencentral-01.azurewebsites.net\/beta\/Screener\/Details\/71<\/a><\/p>","protected":false},"excerpt":{"rendered":"<p>\n\t&nbsp;&nbsp; The short-term contrarian strategy of buying stocks which are past losers and selling stocks which are past winners is well documented in academic literature. But does this effect work within different markets and with different instruments? Is it possible to create <strong>less complicated short term reversal strategy with futures<\/strong>?<\/p>","protected":false},"author":11586,"featured_media":0,"comment_status":"closed","ping_status":"closed","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[1],"tags":[],"class_list":["post-43777","post","type-post","status-publish","format-standard","hentry","category-uncategorized"],"_links":{"self":[{"href":"https:\/\/vvv.quantpedia.com\/es\/wp-json\/wp\/v2\/posts\/43777","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/vvv.quantpedia.com\/es\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/vvv.quantpedia.com\/es\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/vvv.quantpedia.com\/es\/wp-json\/wp\/v2\/users\/11586"}],"replies":[{"embeddable":true,"href":"https:\/\/vvv.quantpedia.com\/es\/wp-json\/wp\/v2\/comments?post=43777"}],"version-history":[{"count":0,"href":"https:\/\/vvv.quantpedia.com\/es\/wp-json\/wp\/v2\/posts\/43777\/revisions"}],"wp:attachment":[{"href":"https:\/\/vvv.quantpedia.com\/es\/wp-json\/wp\/v2\/media?parent=43777"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/vvv.quantpedia.com\/es\/wp-json\/wp\/v2\/categories?post=43777"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/vvv.quantpedia.com\/es\/wp-json\/wp\/v2\/tags?post=43777"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}