From: Profitability of technical trading strategies under market manipulation
Variable | Description |
---|---|
LUNCH | Three types of lunch gaps: 2 h, 1.5 h, and 1 h |
CLOSING | Two types without or with Closing Auction Session |
MONTH | Calendar month effects |
YEAR | Calendar year effects |
STRATEGY | Five classes of strategies with different parameters totaling 75 distinct strategies described in “ Appendix” |
STOCK | Thirty seven stocks as listed in Table 1 |