Automatic High-Frequency Trading: An Application to Emerging Chilean Stock Market

Table 2

Results of 20 executions of the AT model of experiment 3. The best time is only 75,598 ms, whereas the best theoretical net return is 690,757 CLP (profitability of 138%). The gains are due to the increasing trend for the period of the experiment; the parameters are adjusted accordingly by the PSO algorithm.

Time (ms)	Returns (CLP)	Short	Long	StopLoss	StopWin
78,892	382,304	42	48	0.004156852	0.00001
77,313	570,680	16	37	0.474434187	0.457211905
80,153	422,715	77	78	0.003876797	0.00001
102,842	327,270	101	128	0.008426064	0.00001
88,634	690,757	47	90	0	0.00001
94,216	351,071	70	71	0.007386603	0.00001
87,911	640,351	69	74	0	0.00001
78,439	647,545	35	39	0	0.00001
79,648	381,706	33	34	0.003689378	0.00001
79,306	404,035	1	33	0.00257833	0.00001
78,836	349,468	47	48	0.007894228	0.00001
84,482	384,969	60	106	0.003625605	0.00001
77,942	346,555	78	79	0.007217344	0.00001
94,406	373,798	1	170	0.004226087	0.00001
82,992	363,428	1	32	0	0.00001
89,537	355,787	126	127	0.003797629	0.00001
75,598	370,568	13	49	0.003803033	0.00001
76,913	651,456	20	28	0	0.00001
83,877	386,283	32	37	0.007186894	0.00001
93,201	376,666	3	150	0.00367221	0.00001