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
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DOI - Digital Object Identifier
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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
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Czech description
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Classification
Type
D - Article in proceedings
CEP classification
IN - Informatics
OECD FORD branch
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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
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e-ISSN
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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
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