Avtomatizirane trgovalne strategije na forex trgu

magistrsko delo

Jan Kresnik (Author), Mojca Duh (Mentor)

Abstract

Trgovanja brez točno določene strategije skoraj ni mogoče objektivno oceniti. Vsak trgovalec ima svojo predstavo o trgu in lahko iz enakih informacij naredi drugačne zaključke kot nek drug trgovalec. Zaradi tega je danes vse bolj v veljavi trgovanje na osnovi algoritmov, ki vedno sprejmejo enako odločitev, in sicer glede na parametre, ki jih trgovalec želi vstaviti v strategijo. Prav tako lahko rezultate ene strategije primerjamo z rezultati druge strategije, saj vemo, da je končni rezultat posledica same strategije in ne različnih psiholoških dejavnikov, ki vplivajo nanj pri ročnem trgovanju. V raziskavi smo poskušali ugotoviti, ali je mogoče z uporabo tehničnih indikatorjev ustvariti uspešno trgovalno strategijo. Osredotočili smo se na nekaj izbranih indikatorjev in poskušali iz najpogostejših nastavitev parametrov ugotoviti, ali je mogoče tako ustvariti dobičkonosno strategijo. Nadalje smo poskušali parametre optimizirati, da so bili končni rezultati čim boljši. Pri tem smo poskušali ugotoviti, ali je mogoče z optimizacijo še izboljšati prvotno strategijo. Na koncu smo rezultate testiranja skušali preveriti še za prihodnost. Skušali smo ugotoviti, ali lahko uspešna trgovalna strategija deluje uspešno tudi v prihodnosti ali pa je trg v vsakem obdobju res tako specifičen, da trgovalnih strategij, ki bi uspešne delovale v različnih tržnih pogojih, ni mogoče ustvariti. Ugotovili smo, da se na podlagi preteklih podatkov da ustvariti povsem uspešne trgovalne strategije. Uspešnosti strategij nam kasneje ni uspelo prenesti tudi na prihodnost, vseeno pa je ena strategija pokazala v obeh obdobjih solidne rezultate. Ugotovili smo torej, da uspešnost trgovalne strategije v preteklosti ne nujno zagotavlja enakih rezultatov v prihodnosti, je pa z uporabo logične strategije vseeno možno dobiti zadovoljive rezultate.

Keywords

mednarodna menjava;valuta;trgovanje;strategija;tehnična analiza;indikatorji;finančni instrumenti;forex;

Data

Language:	Slovenian
Year of publishing:	2014
Typology:	2.09 - Master's Thesis
Organization:	UM EPF - Faculty of Economics and Business
Publisher:	[J. Kresnik]
UDC:	336.761
COBISS:	11804444
Views:	1677
Downloads:	352
Average score:	0 (0 votes)
Metadata:

Other data

Secondary language:	English
Secondary title:	Automated trading strategies on the forex market
Secondary abstract:	Evaluating trading strategies without a mechanical strategy is almost impossible. Every trader has his own idea about the markets and can conclude different things from the same market conditions as some other trader. Because of that, there is a growing demand for trading algorithms which will always make the same trading decision based on what input parameters the trader wants to use. Comparing one trading strategy to another is a simple task, because we can be certain that the final result is not influenced by the trader’s psychology which can bias his view. We have tried to find out if it is possible to build a successful trading strategy which uses technical indicators. We have focused on several selected indicators and tried to find out if a profitable strategy can be made with the use of common parameters. Furthermore we tried to optimize these parameters so that the end result would be better. We have also tried to find out if after the optimization the profit could be increased without increasing the risk. In the end, we tried to forward test the backtest results. We tried to find out if a trading strategy can be successful even in the future or are the markets too specific in different times for the strategy to work in all conditions. End results show that based on the historical data, there is a possibility to build a successful trading strategy. Even though the success could not be duplicated in the future test, there was one strategy which showed solid results in both periods. The conclusion is that historical results are not a guarantee for future results, but with a use of a logical strategy there is chance to get acceptable results anyway.
Secondary keywords:	Automated strategies;currency trading;technical analysis;technical indicators;forex;
URN:	URN:SI:UM:
Type (COBISS):	Master's thesis/paper
Thesis comment:	Univ. v Mariboru, Ekonomsko-poslovna fak.
Pages:	90 str.
ID:	8730212