A simple algorithm based on fluctuations to play the market

TL;DR

This paper introduces a market trading algorithm inspired by biological motor enzymes that exploit fluctuations, demonstrating its effectiveness using historical financial data from multiple markets.

Contribution

It proposes a novel fluctuation-based trading strategy inspired by biological principles and evaluates its performance on real-world financial data.

Findings

The algorithm successfully exploits market fluctuations.

It performs well across different financial indices.

The strategy shows potential for practical trading applications.

Abstract

In Biology, all motor enzymes operate on the same principle: they trap favourable brownian fluctuations in order to generate directed forces and to move. Whether it is possible or not to copy one such strategy to play the market was the starting point of our investigations. We found the answer is yes. In this paper we describe one such strategy and appraise its performance with historical data from the European Monetary System (EMS), the US Dow Jones, the german Dax and the french Cac40.