Comparisons of Strategies on Gold Algorithmic Trading

Chaoteng Jordan Chen, Xiaotao Liu, Kin Keung Lai

Abstract: In this paper, we use intraday COMEX gold futures to evaluate and compare the trading performance of volume weight average price (VWAP) strategy, time weighted average price (TWAP) strategy and implementation shortfall (IS) strategy. We find that they can track the market price very well only when price moves have no trend on the relevant day. And Market impact cost and timing risk cost of the three strategies are proved to be negative correlated. Moreover, we get the result that the timing risk cost of VWAP strategy is the highest and that of IS strategy is the lowest, while the situation of market impact cost is opposite.