Type or paste a DOI name into the text box. Quantitative investment and trading binary option trading 2014 for 2015, research, and analysis. Today, I want to present research that suggests leveraged ETF can be very suitable for short-term trading. The research in question was just published by Prof.
Pauline Shum and her collaborators at York University. Now this strategy is actually quite well-known among institutional traders, although this is the first time I see the backtest results published. Now who is paying for this profits for those momentum traders? Why, the buy-and-hold investors, of course.
Yet another reason we should not be one of those investors! Shum pointed out, if you trade this strategy live today, you will likely get a lower return, because of all those momentum traders who drove up the price way before the close. However, there may be an ameliorating factor at work here: this momentum is proportional to the NAVof the ETFs. A company called Level 3 Data Corp sells proprietary data indicating buying and selling pressure on stocks. Their internal backtests show that adding these data to some common stock trading strategies essentially double their returns. An explanatory video is available, and I heard they are offering 3-month free trials.