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This paper investigates the optimality of a trend following trading strategy under a regime switching model, aiming to identify and capitalize on bull and bear market phases. The authors derive optimal buying and selling times through a sequence of stopping times influenced by threshold curves, supported by numerical experiments that validate the theoretical findings. The results indicate that the proposed trend following strategy significantly outperforms traditional buy and hold strategies in both simulat
- Author
- bdan4531
- Language
- EN