Optimization of Automated Trading System’s Interaction with Market Environment

  • Petr Tucnik
Part of the Lecture Notes in Business Information Processing book series (LNBIP, volume 64)

Abstract

This work is focused on the automated trading systems (ATS) design and optimization. In a preparation phase before use, an optimization of interaction of such systems with its intended market environment should be done. The technical analysis indicators are most frequently used in ATS. Optimization is done by testing of different settings of MACD indicator and optimal settings depend heavily on market parameters. The intended use of the ATS is to perform its activity independently to some extend (depending on user’s preferences). The main aim is to enhance automated trading system performance, in order to improve its usefulness and acceptability for the user. Paper will be focused on futures markets only (Chicago and New York), but results are applicable to other areas of trading as well.

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Copyright information

© Springer-Verlag Berlin Heidelberg 2010

Authors and Affiliations

  • Petr Tucnik
    • 1
  1. 1.Department of Information Technologies, Faculty of Informatics and ManagementUniversity of Hradec KraloveHradec KraloveCzech Republic

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