Optimization of Automated Trading System’s Interaction with Market Environment
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.
Unable to display preview. Download preview PDF.
- 1.Carter, J.F.: Mastering the Trade – Proven Techniques for Profiting from Intraday and Swing Trading Setups. McGraw-Hill, New York (2006)Google Scholar
- 2.Kaufman, P.J.: New Trading Systems and Methods, 4th edn. John Wiley & Sons, New Jersey (2005)Google Scholar
- 3.Murphy, J.J.: Technical Analysis for Financial Markets a Comprehensive Guide to Trading Methods and Applications. New York Institute of Finance, New York (1999)Google Scholar
- 4.Nison, S.: Japanese Candlestick Charting Techniques, 2nd edn. Prentice Hall Series, New Jersey (2001)Google Scholar
- 5.Pesavento, L., Jouflas, L.: Trade What You See – How to Profit from Pattern Recognition. John Wiley & Sons, New Jersey (2007)Google Scholar
- 6.Tinghino, M.: Technical Analysis Tools – Creating a Profitable Trading System. Bloomberg Press, New York (2008)Google Scholar
- 7.Tucnik, P.: Automatic Trading System Design. In: Godara, V. (ed.) Pervasive Computing for Business: Trends and Applications. IGI Global, Sydney (2010)Google Scholar
- 8.Tucnik, P.: Automated Futures Trading – Environment Effect on the Decision Making. In: Recent Advances in Applied Computer Science: Proceedings of the 9th WSEAS International Conference on Applied Computer Science. World Scientific and Engineering Academy and Society, Athens (2009)Google Scholar