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[3I2-GS-5e-04] Does a New Investment Strategy Take Existing Strategies' Return? -investigation by Agent-Based Model
Keywords:finance, stock investment, artificial market
Commodity Trading Advisor (CTA) funds, which mainly trade commodity futures, used to earn. However, since around 2010, they can not earn easily. Several reasons for this are said, including increase of short-term contrarian strategies that prey on CTAs for profit. However, these suggestions are not well-founded. In this study, we constructed an artificial market model implemented CTAs and short-term reversal traders (STRT), and investigated whether existing the STRTs led to a decrease in CTAs' earnings. The results showed that both CTAs and STRTs gained more profits by having more chances of their trades when both exists. Therefore, it is possible that STRTs preying on CTAs is not only wrong, but also coexists with them for profit.
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