Vasiliki A Basdekidou, Artemis A and Styliadou
The main target of this paper is to discuss a short-term trading strategy for ETF instruments (as technical market inefficiencies; "momentum effects") and for this purpose, temporal warning dynamics and triggering trading functionalities (TTF) for the daily time-domain (short-term trading) are introduced. The proposed trading strategy is not a fully documented trading system, because it is derived, as well as it has been back-tested on USA Markets sample data (2000-2016) with an initial formal definition and documentation. According to the back-tested sample data, leveraged ETF short-term trading, with a strategy based on these TTF functionalities, offer great profit opportunities. The current paper contributes to corporate finance literature by examining, analyzing and defining these TTF functionalities. For this purpose, four categories of shareholders are regarded: The long-term investors, the short-term swing traders, the short-term momentary speculators, and the intraday speculators. Paper concludes that, in daily and intraday leveraged ETF trading, the short-term swing traders -if they apply the proposed TTF in their trading plans and strategies- are benefit at the expense of momentary and intraday speculators, while the long-term investors in leveraged ETFs are always the big losers.
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