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Automated Foreign Exchange Trading Strategies:Improving Performance Without StrategyModification
KTH, School of Computer Science and Communication (CSC).
2014 (English)Independent thesis Basic level (degree of Bachelor), 10 credits / 15 HE creditsStudent thesis
Abstract [en]

Trading indicators are frequently used among foreign exchange traders in attempts to predict future marketevents. Automated trading strategies can easily be implemented to act on such predictions. Motivated by acuriosity about whether the use of trading in dicators could be improved without actually changing the indicators themselves, this study was conducted in an attempt to investigate opportunities in enhancing strategy profits by restricting strategies from trading during periods deemed as unfavorable. However,conditionally restricting strategies’ trading capabilities by introducing thresholds for strategy activation did not show significant effects on the performance. By examining the accumulated strategy profits both with and without applied thresholds, it was derived that the general characteristics of the performance were withheld. Consequently, it can not be concluded that this study provides a reliable method of enhancing profits through applying restrictions to foreign exchange strategies. Nevertheless, the effects from applying thresholds to strategies, albeit not mainly profitable in this study, motivates further research on advantages from conditionally restricting foreign exchange strategies.

Place, publisher, year, edition, pages
National Category
Computer Science
URN: urn:nbn:se:kth:diva-157699OAI: diva2:771156
Available from: 2014-12-12 Created: 2014-12-12 Last updated: 2014-12-12Bibliographically approved

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