Abstract (100 words or less):
|Optimization of a stock day-trading strategy for a single asset is considered. |
Any position must be closed out at the day's end.
Interest may be earned on days not in the market; note that this problem differs from that of merely optimizing the return in excess of the interest rate.
Model-free, data-based optimization of the strategy turns out to lead to a relatively simple mathematical programming problem.
Model-based optimization according to a first-order
autoregressive model is also accomplished.
The procedures are illustrated with actual stock rates of return.