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Technical Analysis
Regen, Ondřej ; Heliová, Martina (referee) ; Novotná, Veronika (advisor)
This master’s thesis deals with automated trading systems based on chosen trading strategies, their testing and inputs optimization. The work begins with a theoretical basis for subsequent practical part, where is the solution process illustrated. In conclusion, final evaluation of results is performed and recommendations for the future are mentioned.
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Technical Analysis
Spáčil, Přemysl ; Budík, Jan (referee) ; Novotná, Veronika (advisor)
This master’s thesis is focused on the development, optimization and testing automated trading systems (ATS) using technical analysis. The first part, which describes mainly theoretical background, is followed by the practical part. This section deals with designing workflow for the development of ATS. Outcome of this thesis is portfolio of strategies that can be traded on e-mini markets. Some systems have been designed in Adaptrade Builder using genetic algorithms, while all testing was performed in TradeStation platform.
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Strategies for Spread Trading using Futures Contracts
Gottlieb, Oskar ; Krištoufek, Ladislav (advisor) ; Čech, František (referee)
The focus of this thesis are futures spreads, more specifically trading strategies based on two approaches - cointegration tested on inter-commodity spreads and seasonality observed amongst calendar spreads. Commodity pairs which we identify to be cointegrated are tested for four mean reversion strategies, three of them being based on fair value approach, the fourth on the relative value approach. Similarly calendar spreads exhibiting seasonality are optimized for naive buy and hold trading strategies. Both approaches are tested on in-sample and out-of-sample data. Amongst seasonal strategies we have not found a pattern yielding sufficiently profitable signals in both in-sample and out-of-sample periods. Inter-commodity spreads on the other returned profitable strategies on cointegrated spreads which were also similar in physical nature. The exception to that rule were spreads known well in the industry, which failed to deliver positive results in the out-of-sample period.
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Technical Analysis
Spáčil, Přemysl ; Budík, Jan (referee) ; Novotná, Veronika (advisor)
This master’s thesis is focused on the development, optimization and testing automated trading systems (ATS) using technical analysis. The first part, which describes mainly theoretical background, is followed by the practical part. This section deals with designing workflow for the development of ATS. Outcome of this thesis is portfolio of strategies that can be traded on e-mini markets. Some systems have been designed in Adaptrade Builder using genetic algorithms, while all testing was performed in TradeStation platform.
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Technical Analysis
Regen, Ondřej ; Heliová, Martina (referee) ; Novotná, Veronika (advisor)
This master’s thesis deals with automated trading systems based on chosen trading strategies, their testing and inputs optimization. The work begins with a theoretical basis for subsequent practical part, where is the solution process illustrated. In conclusion, final evaluation of results is performed and recommendations for the future are mentioned.
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