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Testing of Indicators for Technical Analysis in Stock Market Trading
Melichar, Josef ; Žák, Jakub (referee) ; Rozman, Jaroslav (advisor)
This thesis deals with testing indicators of technical analysis and their behavior with different kinds of market. In this thesis we tested simple moving averages, exponential moving averages, relative strength index indicator, MACD indicator, and stochastic indicator. At the end we tested a combined indicator, and that was stochastic with MACD. We created an automatic trading system for each of these indicators. From the results we can find out, that by optimizing the technical indicators we can get satisfying results by increasing the profitability. Indicators that seemed non-profitable were in fact profitable after the optimization. However testing parameters of indicators of technical analysis alone is not enough to make a stable profit.
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Testing of Indicators for Technical Analysis in Stock Market Trading
Melichar, Josef ; Žák, Jakub (referee) ; Rozman, Jaroslav (advisor)
This thesis deals with testing indicators of technical analysis and their behavior with different kinds of market. In this thesis we tested simple moving averages, exponential moving averages, relative strength index indicator, MACD indicator, and stochastic indicator. At the end we tested a combined indicator, and that was stochastic with MACD. We created an automatic trading system for each of these indicators. From the results we can find out, that by optimizing the technical indicators we can get satisfying results by increasing the profitability. Indicators that seemed non-profitable were in fact profitable after the optimization. However testing parameters of indicators of technical analysis alone is not enough to make a stable profit.
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Technical analysis of the precious metals market
Gronský, David ; Veselá, Jitka (advisor) ; Ducháčková, Eva (referee)
The main goal of this thesis is to create several trade systems in order to examine their rate of successfulness. The basic knowledge of the technical analysis serves as the theoretical basis. One of their instruments namely technical indicators are used. Selected technical indicators are applied on a financial investment instrument, that is represented by the share of a mining company. The time horizon the trading systems are based on in their respective analyses, is four years. In the initial part there are individual components determined from the theoretical point of view, followed by application and evaluation of their outputs related to individual strategies. Finally, there is a trading system to be created in an appropriate combination, which is subjected to the analysis followed by a potential optimization and subsequent assessment of its possible application in real trading.
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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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Sophisticated trading strategies and systems on electronic trading
Bezděkovský, Jakub ; Votava, Libor (advisor) ; Donát, Lukáš (referee)
Work clarifies the issues about trading strategies and systems to the starting traders. Attention is concentrated on trader with a small account. In the theoretical part, reader is introduced to the realities of trading and is briefed by the basics of theoretical knowledge. Using data analysis is made the trading strategy with trading systems. The goal is to try to answer the question whether it is possible to have constant gains in the financial markets using these strategies. The result of this work is a strategy that is made up of three business systems. These mechanical trading systems were programmed in the program Metatrader 4. After the final evaluation of trading systems and the whole strategy, we find that these trading systems (in spite of profitability) do not meet the requirements for trading. The conclusion is based on interview with professional trader, who suggests to the starting traders the way, which would lead to the constant gains using sophisticated trading strategies and systems.
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Analysis of Stock Exchange Data to UI Methods
Kutina, Michal ; Jelínek, Jiří (advisor) ; Dvořák, Pavel (referee)
The graduation thesis "Analysis of stock-exchange data using AI methods" is focused on the use of neural networks while predicating the exchange-rate movements on Change. The theoretical part is divided into three independent units. The Change matters and the related individual terms are described in the first part. In the second part, the two basic approaches to the stock-exchange data analysis are analyzed, these two approaches being the fundamental and technical analysis. The third, and the last, theoretical part forms an individual unit describing the Artificial Intelligence theory. Particularly the issue of the neuronal networks is described in detail. The practical part seeks the use for the chosen neuronal network GAME. It analyses the chosen YMZ9 market. It focuses on the prediction of the exchange-rate movements using the "sliding window" method. The last chapter summarizes the results and it proves that under certain circumstances it is possible to properly use the neuronal networks both for the prediction of the stock-exchange movements and as one of the corner-stones of the profitable trading system.
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Application of technical analysis indicators on futures markets
Tomčiak, Boris ; Veselá, Jitka (advisor)
Technical analysis is one of methods which are used by investors, when they decide about allocation of their financial assets. There is a disagreement about the reliability of results achieved by this approach in the theoretical literature. This paper focuses on results of several simple trading systems based on technical analysis indicators. Tests will run on a portfolio of futures contracts. I will also try to determine optimal parameters and I will propose possible modifications.
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