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Impact of Risk Management Features on Performance of Automated Trading System in GRAINS Futures Segment

The result's identifiers

  • Result code in IS VaVaI

    <a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F62690094%3A18450%2F11%3A10069994" target="_blank" >RIV/62690094:18450/11:10069994 - isvavai.cz</a>

  • Result on the web

  • DOI - Digital Object Identifier

Alternative languages

  • Result language

    angličtina

  • Original language name

    Impact of Risk Management Features on Performance of Automated Trading System in GRAINS Futures Segment

  • Original language description

    Automated trading requires protection against loss in the same manner as manual trading does. Automated trading systems (ATS) have to be acceptable, easy to implement and transparent from the user`s perspective. From the perspective of a small speculator, this paper is focuses on testing ATS`s performance while applying selected exit techniques - maximum loss, profit target, trailing stop and their combination. To allow comparison, performance of ATS without application of any exit strategy will be presented as well. The testing will be conducted using simplified trading system on commodities of GRAINS segment (corn, wheat, oats) using real commodity data. Tests will be conducted on optimized version of simplified trading system, using Stochastics technical analysis indicator.

  • Czech name

  • Czech description

Classification

  • Type

    D - Article in proceedings

  • CEP classification

    IN - Informatics

  • OECD FORD branch

Result continuities

  • Project

    <a href="/en/project/EE2.3.20.0001" target="_blank" >EE2.3.20.0001: Information, cognitive, and interdisciplinary research support</a><br>

  • Continuities

    P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)<br>S - Specificky vyzkum na vysokych skolach

Others

  • Publication year

    2011

  • Confidentiality

    S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Data specific for result type

  • Article name in the collection

    Recent advances in applied & biomedical informatics and computational engineering in systems applications

  • ISBN

    978-1-61804-028-2

  • ISSN

  • e-ISSN

  • Number of pages

    6

  • Pages from-to

    186-191

  • Publisher name

    World scientific and engineering academy and society

  • Place of publication

    Athens

  • Event location

    Florencie, Itálie

  • Event date

    Aug 23, 2011

  • Type of event by nationality

    WRD - Celosvětová akce

  • UT code for WoS article