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

Table 3

Results of 20 runs of the AT model of experiment 4. The best time increases to 320,494 ms, while the best theoretical net return decreases to 285,351 CLP (profitability of 57%). The difference in behavior is due to the temporal granularity on which the system operates.

Time (ms)	Returns	Short	Long	StopLoss	StopWin
401,775	271,096	32	34	0	0.285258866
380,216	174,172	36	37	0	0.160024324
386,456	174,940	8	18	0	1.728610269
389,235	176,805	26	27	0	0.090294426
399,316	235,421	32	34	0	0.029627225
401,022	162,707	46	110	0	0.129552719
390,692	175,168	77	78	0	1.195936443
388,487	205,896	50	70	0.000384208	0.382646993
382,833	273,143	30	36	0	0.247501213
382,123	169,675	36	37	0	0.109817783
375,669	271,096	32	34	0	0.382314236
375,810	216,337	41	76	0.028521942	0.043130692
385,236	247,521	16	21	0	1.373017833
387,552	285,351	44	86	0.000293338	0.414043995
394,574	195,570	76	96	0.002536985	0.801816572
389,934	268,196	57	84	0	0.702944475
361,461	268,196	48	88	0	0.316077957
320,494	242,775	29	78	0.028291729	0.029311713
325,625	273,143	30	36	0	1.591565877
323,076	206,525	26	39	0.000372256	0.404751387