英文摘要 |
Using the Hodrick-Prescott filter, this study extracts the price trend from an observed price series for advancing the directional accuracy of the traditional moving average rule (MA) which usually is noised by the short-term component of price variation. Hodrick-Prescott filter have been widely-used to generate the business cycle using low-frequency economic data, however, less study examined its fitness for using high-frequency trading price. In addition, the performance of HPF is sensitive to the smoothing parameter of HPF’s λ. This study aims to detect the validity of HPF for using high-frequency exchange price. Secondly, an appropriate smoothing parameter of HPF’s λ is determined by investigating the performance of the high frequency momentum trading strategy. |