Optimization of Automated Trading System’s Interaction with Market Environment
- Cite this paper as:
- Tucnik P. (2010) Optimization of Automated Trading System’s Interaction with Market Environment. In: Forbrig P., Günther H. (eds) Perspectives in Business Informatics Research. BIR 2010. Lecture Notes in Business Information Processing, vol 64. Springer, Berlin, Heidelberg
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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