A Method of Distinction Between Momentum Chasing or Contrarianism Trading

摘要

This paper explains a method of making distinction between momentum chasing and contrarianism trading. First, we randomly select a time series of some security in futures market, and the time frequency is one minute. Second, we convert the close price into index price, and calculate thirty-minute moving average of index price. Third, after curving fitting and derivation, we found all the extremum points. We study the continuous rising or falling percentage after a extremum point is confirmed, in order to study momentum chasing and contrarianism trading. The result shows that, setting 0.1% as condition, momentum chasing is major trading way when continuous rising or falling 0.1%, while contrarianism trading is major trading way when continuous rising or falling 1%.