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This diploma thesis is focused on the subject of automated trading systems.Considerable part of total transaction volume on exchanges is driven by institutional algorithmic trading. Today’s more accessible technology and connection to marketplace through brokers makes this type of trading relevant for retail traders as well.
Having actively and discretionary traded for my own account for two years I moved from this type of trading to development of automated trading systems. During 18 months I was able to develop several systems that I started trading. The out-of-sample backtested results are presented.
The main goal of this thesis is to offer a basic framework for systems development, focusing on principles and methodology and highlighting several issues/pitfalls connected to the subject. The partial goals are:
a) Presenting a reasonable performance measurement method for systems comparison and assessment.
b) Tackling the issue of robustness and optimization
c) Finding a suitable money management technique
Theoretical part of this thesis is covered in Chapters 1 and 2 with the analytical part and solutions presented for every major goal in Chapters 3, 4 and 5. The contribution of this thesis is in the refinement of existing performance metrics to make them more dependable for development and comparison of systems, the introduction of robustness measurements and a different take on money management - focusing on drawdown estimation. I would like to express my gratitude towards my supervisor Dr. Juraj Pancik for his guidance. I would also like to state that I wrote this thesis independently, with guidance from diploma thesis supervisor and I used literature referenced at the end.
目录参考：
设计和实现自动交易程序.pdf
(1.48 MB, 需要: 2 个论坛币)
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