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A Critical Analysis of a Trading Strategy on the Capital Market
Novák, Radomír ; MSc, Petr Novotný, (referee) ; Škapa, Stanislav (advisor)
Diplomová práce se zaměřuje na vymezení teoretické a praktické podstaty intradenního obchodování. To jest použití nástrojů technické analýzy, představení obchodních systémů, výběr brokera a aplikace poznatků a softwarové podpory při uskutečňování obchodů na termínových trzích s důrazem na podkladový nástroj – indexy. Jako o velice důležité součásti intradenního obchodování je také pojednáno o psychologii tradingu, která navzdory své zdánlivé nepodstatnosti je jednou z nejdůležitějších aspektů ziskového obchodování na reálných trzích současně s kvalitním money managementem a řízením rizika. Na základě výzkumu je vytvořen a v této práci prezentován intradenní obchodní systém určen pro ziskové obchodování na burzovních trzích – indexech, a výsledky a zkušenosti s jeho reálným nasazením na světových trzích.
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The success rate of candlestick patterns in technical analysis
Vašíček, Marek ; Veselá, Jitka (advisor) ; Fičura, Milan (referee)
This diploma thesis deals with the testing of the success of individual candlestick patterns of technical analysis. In the first part the theoretical basis of technical analysis and candlestick patterns will be presented. The second part will define basic candlestick patterns and their program definition. Backtesting on historical data will verify the success of individual candlestick patterns on EURUSD currency pair. In the third part, a trading system will be built based on the results of the testing of the candlestick patterns. An optimal setting of the trading system will be proposed. The aim of the thesis is to test success rate of candlestick patterns and find out if the candlestick pattern trading system is able to generate profits.
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Intraday trades
BOHINSKÝ, Petr
This thesis is focused on comparison of intraday and short term trades profitability using technical analyses by application the method of crossing moving averages between January 1st 2014 and August 1st 2016. Trading takes place on the basis of buying and selling signals of a generated technical indicator in the investment program Alapri and XTB. The traded indexes are DAX 30, S§P 100 and commodities gold and oil. The theoretical part of this work is devoted to the financial market, commodity market, describes intraday and positional trader and advantages as well as disadvantages of these markets. It also deals with technical analyses and explains basic investment terms. Practical part of the work is devoted to a description of the results modeled on real historical data. It is possible to determine on the base of back-tested results that the method of crossing moving average with the value of the instrument is better for short-term trades; in modeled example in daily graph than for intraday trades modeled in four-hour graph. Furthermore when modeling there was found that it is more profitable to buy instruments and let them be valorized by the financial market under given conditions. It means to buy them at the beginning of the investment period and sell at the end of this period without any buying and selling operations.
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A Critical Analysis of a Trading Strategy on the Capital Market
Novák, Radomír ; MSc, Petr Novotný, (referee) ; Škapa, Stanislav (advisor)
Diplomová práce se zaměřuje na vymezení teoretické a praktické podstaty intradenního obchodování. To jest použití nástrojů technické analýzy, představení obchodních systémů, výběr brokera a aplikace poznatků a softwarové podpory při uskutečňování obchodů na termínových trzích s důrazem na podkladový nástroj – indexy. Jako o velice důležité součásti intradenního obchodování je také pojednáno o psychologii tradingu, která navzdory své zdánlivé nepodstatnosti je jednou z nejdůležitějších aspektů ziskového obchodování na reálných trzích současně s kvalitním money managementem a řízením rizika. Na základě výzkumu je vytvořen a v této práci prezentován intradenní obchodní systém určen pro ziskové obchodování na burzovních trzích – indexech, a výsledky a zkušenosti s jeho reálným nasazením na světových trzích.
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Fulltime trading – intraday trading with live account
Kosinka, Jakub ; Smrčka, Luboš (advisor) ; Strouhal, Jiří (referee)
In this diploma thesis I am going to deal with building the business strategy using methods of technical and orderflow analysis. Then I am going to test this strategy on the market E-mini Nasdaq 100 in simulation mode and then in real market. The goal of this thesis is to determine if the results achieved in simulation mode can be also achieved in real market where the trader operates a number of negative factors such as stress, nervousness, or risking his own money.
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Market making jako obchodní strategie
Čamaj, Matej ; Stádník, Bohumil (advisor) ; Fičura, Milan (referee)
The purpose of this thesis is to analyze market making trading strategy and explore possibilities of using such strategy for intraday trading on the markets with the limit order book. In theoretical part we prove profitability of specified market making strategy under certain assumptions and moreover analyze effect of change of parameters on the performance of the strategy using one dimensional stochastic processes. Next the assumption of constant fair price is relaxed which leads to deterioration of profitability of these strategies. Because one dimensional stochastic processes do not capture price creation in the real world, we propose stochastic model of intraday trading in the next chapter. Advantage of this approach is that we can observe state of the limit order book during whole trading session and therefore better simulate conditions for test of the strategies. Although proposed model exhibit many phenomenons observed in empirical data like volatility clustering, in some situations it produces unrealistically high spread caused by the construction of the model, because arrivals of market and limit orders are modeled as independent processes. Another disadvantages are need of relatively extensive data for model calibration and high sensitivity of model to change of parameters. Lastly we test three different market making strategies under different choice of model parameters and show that expected profitability is positive in all cases.
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Analysis of intraday strategy via backtest, papertrading and live trading
Širc, David ; Smrčka, Luboš (advisor) ; Strouhal, Jiří (referee)
This work is about trading futures markets. It defines rules of two different intraday strategies with the same basic trading idea on e-mini NASDAQ 100 market. First strategy is more mechanical, second is more discrete. These strategies are tested via backtest and papertrading. The results of tests are evaluated and based on that is chosen one strategy, which is then applied on live trading. Results from live trading are compared with the results of previous tests for a purpose finding a difference between them and identifying the causes of these differences.
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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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Psychological analysis and risk-management in trading on capital markets
BUREŠ, Vladislav
The main goal was to describe psychological factors that affect trader's behavior while trading on capital markets and to apply risk- and money-management to eliminate these factors. The theoretical part describes the market efficiency theory, behavioral finances and psychological analysis. The second part is based on the intraday trading. There were created four trading strategies and their yields were statistically tested.
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Intraday trading – testing „Woodies CCI“ system
Kosinka, Jakub ; Smrčka, Luboš (advisor) ; Zámečník, Petr (referee)
In this bachelor thesis I will deal with testing intraday trading system "Woodies CCI". Since the topic of intraday trading is not known to general public I will explain this concept in theoretical part. Further I give everything that trader should know before deciding to start trading on stock exchange or more precisely on the commodity markets. In practical part I am going to introduce trading system "Woodies CCI" and all its rules including sample images. Further I will test it on historical data. Analysis of results will be performed in the conclusion of this work.
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