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Development of trading strategies based on technical analysis
Stehno, Vítězslav ; Brůna, Karel (advisor) ; Dvořák, Michal (referee)
This thesis has two main objectives. It attempts to describe the process of developing an intraday discretionary trading strategy based on technical analysis and to create through the process an intraday discretionary strategy for speculative trading of contracts for difference on the OTC market. The theoretical part of the thesis is divided into three chapters providing the necessary knowledge for creation of an intraday discretionary trading strategy in the practical part of the thesis. The emphasis is put on the description of different tools and methods technical traders usually use in their strategies. The development process of the strategy is divided into three parts which are Strategy Creation, Backtest and Optimization. These parts are further divided into smaller sections dealing with different issues of the strategy development process. The final outcome of the work is structured development process of discretionary trading strategies and also highly profitable intraday discretionary strategy for trading of Gold based contracts for difference.
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Analysis of effectiveness of the selected technical analysis indicators
BÁRTA, Martin
The aim is to compare the efficacy of chosen indicators on the selected segment and type market. To compare it, I chose three most common indicators such as the MACD, RSI and CCI. The choice was conditioned not only by their popularity or recommenda-tions, but also by the availability of the data necessary for may work. For the analysis of indicators, I chose the market, which has become the world standard for measuring the performance of U.S. equities, which is an equity index S&P 500. Finally, I focused on various economic periods and the resulting success of the above indicators at different times, their displays and comparisons at different stages of economic market cycles. For each analysis, evaluation and conclusions an effective indicator can not be unambi-guously determined, but after an overall assessment based on the data, I would recom-mend for the market S&P 500 the use of indicators 10 ? CCI, based on the total effi-ciency. Also, it is necessary to note the use of the indicator MACD (10-35-5) for the speculation on price decrease, especially in light of the proven functionality of this speculation in all periods.
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Application of technical analysis in trading on stock markets
KLAUSOVÁ, Kateřina
The aim was to create trading strategies in the stock inden NASDAQ Composite and comparing these trading strategies to yield market. The introductory chapters are discussed theories price behavior of the stock markets and methods to estimate future price developments. The main part of the theoretical part is focused on technical analysis and its tools. Technical analysis tools understand graphical analysis and analysis based on technical indicators, which are then used to create busi-ness strategy. In the practical part is first mentioned methodology for creating and evaluating business strategies. For creating business strategies have been selected tech-nical indicators, exponential moving average, Relative Strength Index, Com-modity Index Channel and Parabolic SAR. The last part is dedicated to a review of the trade policies compared to the overall market. For this investigation implies that none of these strategies has not been in business del-SIM period (2008-2012) able to overcome yield market. In all calculated based invest-ment strategies loss. Overcoming yield market has been only in the short term, in 2008, the most successful strategy was published strategy based on exponential moving ave-rage. This result helped the financial crisis in 2008, which caused the market to become a loss in the amount of $ 1,978.44 (ie 39.6%) while the loss in busi-ness strategies were lower. Another positive year was 2012, when managed business strategies established by the oscillator Commodity Channel Index (CCI) and trend indicator Parabolic SAR outperform the market. In both business strategist-ICH achieve higher profits than the market return. The results in the long term and are consistent with market efficiency, which states that no created business strategy will deliver higher returns than the market itself.
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Fundamental and technical analysis of stock Philip Morris ČR
Klimánková, Renata ; Smrčka, Luboš (advisor) ; Schönfeld, Jaroslav (referee)
The master's thesis deals with the fundamental and technical analysis of stock Philip Morris ČR. The aim of the thesis is a specification of investment recommendation. The fundamental analysis specifies an intrinsic value of the stock Philip Morris ČR, compares it with a real stock price and recommends sale or purchase of this stock. Technical analysis uses graphical methods and technical indicators to determine an appropriate time to sale or purchase this stock.
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Security and technical analysis of shares of Siemens AG
Poldauf, Sandro ; Smrčka, Luboš (advisor) ; Schönfeld, Jaroslav (referee)
The main objective of my bachelor thesis is to characterize the methods of the security and technical analysis, including its exemplary application for the Siemens AG company. The beginning of this thesis includes the principles of the development and methods of security analysis and technical analysis. The second part of this thesis applies security analysis to Siemens AG for determining the intrinsic value, the industry and economic analysis and the subsequent determination of an investment recommendation. In this part, I present the attempt to create my own evaluation method, the Management Performance Index, to quantitatively evaluate the management performance of Siemens AG. The final section focuses on technical analysis and selected technical indicators, especially as an auxiliary instrument for the correct timing of the purchase or sale of shares, including the analysis of their success.
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Fundamental and technical analysis of the stock ČEZ
Veselková, Eva ; Smrčka, Luboš (advisor) ; Zámečník, Petr (referee)
This graduation theses provides on the basis of an analysis fundamental and technical investment recommendation regarding shares of ČEZ. In determining the internal value of shares are used dividend discount models, profit models and FCFE model. By comparing this value with the current share price is determined whether the stock is profitable investment or not. Technical analysis with utilization graphical methods and technical indicators are able to predict when the market occurs a situation in which an advantageous sale or purchase of share is.
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The use of technical indicators in position trading of commodity futures
Fičura, Milan ; Musílek, Petr (advisor)
In this thesis I have tried to describe the basics of futures trading, technical analysis and trading system development. Particularly I have focused on technical indicators, where I have described the majority of those that are most often used for futures trading today. Further I have focused on trading system development and described the proces of backtesting, optimalization and evaluation of trading systems. In the practical part of this chapter I have developed 30 simple trading systems and then backtested them on the historical daily data of 10 commodity futures contracts during the years 2001-2010. To simulate a real trading conditions i have used the years 2001-2005 for optimalization and development, and the years 2006-2010 for backtesting and evaluation. The results were that most of the systems reached relatively good profits, but only low robustness and high riskiness. Also the contra-trend systems performed much worse in the second period than the trend-following systems. From the results i could reject the hypothesis that the yields of the systems (in the second period) are random on 0,1% level of significance. However, it can't be said surely, if the systems have "beat the market" (on risk-adjusted basis), because altrought their net returns were extraordinary, their riskiness was also very high.
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Spot rate technical analysis
Gric, David ; Mandel, Martin (advisor) ; Kuncl, Martin (referee)
The subject of this bachelor thesis is technical analysis that is being generally used in the trading profession. The first goal is to define the aspect of technical analysis and its position and usage on currency market. Next chapter describes fundamental concepts on which the analysis is based on and further specifies elementary types of technical indicators and its trading utilisation. Third part closely explain complex wave theories while focusing on Elliott wave theory. Final chapter uses the theoretical findings stated in the previous part in order to empirically verify its soundness by applying it on historical exchange rate series. Final goal is to answer whether the wave theory is presently usable and leads to successfull execution of user's objectives.
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Fundamental and Technical Analysis of Stock Komerční banka
Uher, Tomáš ; Veselá, Jitka (advisor)
The Bachelor's thesis deals with the fundamental and technical analysis of stock Komerční banka. After the introduction I concentrate on fundamental analysis, specifically global fundamental, sector fundamental and firm fundamental analysis in which I apply certain models in order to determine the intrinsic value of stock Komerční banka. In the next chapter of the thesis I concentrate on technical analysis of stock Komerční banka, I gradually concentrate on charts, chart's formations and technical indicators in order to determine a suitable time for purchase or sale of stock. The last chapter summarizes the results of both analyses and investment recommendations.
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