Backlash Agent: A trading strategy based on Directional Change

Directional Change (DC) is a technique to summarize price movements in a financial market. According to the DC concept, data is sampled only when the magnitude of price change is significant according to the investor. Unlike with time series, DC samples data at irregular time intervals. In this paper, we propose a contrarian trading strategy that is based on the DC concept. We examine the profitability of our trading strategy using three...