Budu porovnávat různé algoritmické obchodní strategie pro obchodování BTC / USD, LTC / USD - jdu na backtest strategie založené na mnoha ukazatelích
jako RSI, MACD, Stocahstic oscilátor - Výkon vybraných algoritmických obchodních strategií (z hlediska celkových výnosů / ztrát) bude porovnán v příslušných
časová období a celkově a strategie nákupu a držení budou použity jako univerzální měřítko.
Metody: - Budu používat jednoduchou platformu jako excel pro výpočet ukazatelů používaných pro předpovídání budoucích cenových pohybů - Na této platformě budu také
vytvořit obchodní pravidla algoritmických obchodních strategií - Jedna z mých strategií spočívá ve srovnání nejvyšších nebo nejnižších bodů trendu BTC s ukazatelem, jako je
RSI, když extrémy RSI vytvoří linii, která se liší s extrémy trendu BTC, program (nazývaný odborný poradce) to rozpozná a provede
obchod
Data: - Budu pracovat s daty poskytujícími výměnu Exmo.- Výzkum bude proveden pouze s historickými daty, která jsou
známá před použitím algoritmů - Při testování strategií se bude brát v úvahu pouze období 2017-2019 - budu brát v úvahu data z:
www.coinmarketcap.com také - Budou použita 1 data
Anotace v angličtině
am going to compare various algorithmic trading strategies for trading BTC/USD, LTC/USD - I am going to backtest strategies based on numerous indicators
as RSI, MACD, Stocahstic oscillator - The performance of the chosen algorithmic trading strategies (in terms of total revenues/losses) will be compared in the respective
time-periods and overall and the buy and hold strategy will be used as a universal benchmark.
Metody: - I will be using a simple platform as excel for the calculation of indicators employed for the forecasting of future price movements - In this platform I will also
create the trading rules of algorithmic trading strategies - One of my strategies consist of comparing the highest or lowest points of a BTC trend, with an indicator like
RSI, when the extremums of RSI form a line that diverge with the extremums of the BTC trend, the program (called the expert advisor) will recognize it and perform
a trade
Data: - I am going to work with data provide dby the Exmo exchange.- The research will only be done with historical data, which are
known before the application of the algorithms - Only the 2017-2019 period will be taken into account for testing the strategies - I am going to consider data from:
www.coinmarketcap.com as well - 1ours data will be used
Budu porovnávat různé algoritmické obchodní strategie pro obchodování BTC / USD, LTC / USD - jdu na backtest strategie založené na mnoha ukazatelích
jako RSI, MACD, Stocahstic oscilátor - Výkon vybraných algoritmických obchodních strategií (z hlediska celkových výnosů / ztrát) bude porovnán v příslušných
časová období a celkově a strategie nákupu a držení budou použity jako univerzální měřítko.
Metody: - Budu používat jednoduchou platformu jako excel pro výpočet ukazatelů používaných pro předpovídání budoucích cenových pohybů - Na této platformě budu také
vytvořit obchodní pravidla algoritmických obchodních strategií - Jedna z mých strategií spočívá ve srovnání nejvyšších nebo nejnižších bodů trendu BTC s ukazatelem, jako je
RSI, když extrémy RSI vytvoří linii, která se liší s extrémy trendu BTC, program (nazývaný odborný poradce) to rozpozná a provede
obchod
Data: - Budu pracovat s daty poskytujícími výměnu Exmo.- Výzkum bude proveden pouze s historickými daty, která jsou
známá před použitím algoritmů - Při testování strategií se bude brát v úvahu pouze období 2017-2019 - budu brát v úvahu data z:
www.coinmarketcap.com také - Budou použita 1 data
Anotace v angličtině
am going to compare various algorithmic trading strategies for trading BTC/USD, LTC/USD - I am going to backtest strategies based on numerous indicators
as RSI, MACD, Stocahstic oscillator - The performance of the chosen algorithmic trading strategies (in terms of total revenues/losses) will be compared in the respective
time-periods and overall and the buy and hold strategy will be used as a universal benchmark.
Metody: - I will be using a simple platform as excel for the calculation of indicators employed for the forecasting of future price movements - In this platform I will also
create the trading rules of algorithmic trading strategies - One of my strategies consist of comparing the highest or lowest points of a BTC trend, with an indicator like
RSI, when the extremums of RSI form a line that diverge with the extremums of the BTC trend, the program (called the expert advisor) will recognize it and perform
a trade
Data: - I am going to work with data provide dby the Exmo exchange.- The research will only be done with historical data, which are
known before the application of the algorithms - Only the 2017-2019 period will be taken into account for testing the strategies - I am going to consider data from:
www.coinmarketcap.com as well - 1ours data will be used
Cíl:
- I am going to compare various algorithmic trading strategies for trading BTC/USD, LTC/USD
- I am going to backtest strategies based on numerous indicators as RSI, MACD, Stocahstic oscillator
- The performance of the chosen algorithmic trading strategies (in terms of total revenues/losses) will be compared in the respective time-periods and overall and the buy and hold strategy will be used as a universal benchmark.
Metody:
- I will be using a simple platform as excel for the calculation of indicators employed for the forecasting of future price movements
- In this platform I will also create the trading rules of algorithmic trading strategies
- One of my strategies consist of comparing the highest or lowest points of a BTC trend, with an indicator like RSI, when the extremums of RSI form a line that diverge with the extremums of the BTC trend, the program (called the expert advisor) will recognize it and perform a trade
Data:
- I am going to work with data provided in the metatrader platform by the avatrade company
- The research will only be done with historical data, which are known before the application of the algorithms
- Only the 2017-2019 period will be taken into account for testing the strategies
- I am going to consider data from: www.coinmarketcap.com as well
- 4hours data will be used
Zásady pro vypracování
Cíl:
- I am going to compare various algorithmic trading strategies for trading BTC/USD, LTC/USD
- I am going to backtest strategies based on numerous indicators as RSI, MACD, Stocahstic oscillator
- The performance of the chosen algorithmic trading strategies (in terms of total revenues/losses) will be compared in the respective time-periods and overall and the buy and hold strategy will be used as a universal benchmark.
Metody:
- I will be using a simple platform as excel for the calculation of indicators employed for the forecasting of future price movements
- In this platform I will also create the trading rules of algorithmic trading strategies
- One of my strategies consist of comparing the highest or lowest points of a BTC trend, with an indicator like RSI, when the extremums of RSI form a line that diverge with the extremums of the BTC trend, the program (called the expert advisor) will recognize it and perform a trade
Data:
- I am going to work with data provided in the metatrader platform by the avatrade company
- The research will only be done with historical data, which are known before the application of the algorithms
- Only the 2017-2019 period will be taken into account for testing the strategies
- I am going to consider data from: www.coinmarketcap.com as well
- 4hours data will be used
Seznam doporučené literatury
Taylor, Mark P, and Helen Allen. 1992. "The Use of Technical Analysis in the Foreign Exchange Market." Journal of International Money and Finance 11 (3): 304-14. https://doi.org/https://doi.org/10.1016/0261-5606(92)90048-3.
HENDERSHOTT, TERRENCE, CHARLES M JONES, and ALBERT J MENKVELD. 2011. "Does Algorithmic Trading Improve Liquidity?" The Journal of Finance 66 (1): 1-33. https://doi.org/10.1111/j.1540-6261.2010.01624.x.
Hendershott, Terrence, and Ryan Riordan. 2009. "Algorithmic Trading and Information." https://econpapers.repec.org/RePEc:net:wpaper:0908.
Neely, Christopher J., 2002, The temporal pattern of trading rule returns and exchange rate intervention: Intervention does not generate technical trading rule profits, Journal of International Economics 58, 211-232
Osler, Carol L, 2005, Stop-loss orders and price cascades in currency markets, Journal of International Money and Finance 24, 219-241.
Chaboud, Alain, Ben Chiquoine, Erik Hjalmarsson, and Clara Vega, 2009, Rise of the machines: Algorithmic trading in the foreign exchange market, Working paper, Federal Reserve System.
Brock, William, Josef Lakonishok, and Blake LeBaron, 1992, Simple technical trading rules and the stochastic properties of stock returns, Journal of Finance 47, 1731-1764.
Nick K. Lioudis, June 14, 2018 10:49 PM EDT, Strategies for part-time forex traders, https://www.investopedia.com/articles/forex/11/part-time-forex-strategies.asp.
Jean Folger, August 5, 2018 8:53 AM EDT Automated Trading Systems: The Pros and Cons, https://www.investopedia.com/articles/trading/11/automated-trading-systems.asp.
Crescenzio Gallo, July 20, 2014, The Forex Market in Practice: A Computing Approach for Automated Trading Strategies, https://www.omicsonline.org/open-access/the-forex-market-in-practice-a-computing-approach-for-automated-trading-strategies2162-6359.1000169.php?aid=28656.
Seznam doporučené literatury
Taylor, Mark P, and Helen Allen. 1992. "The Use of Technical Analysis in the Foreign Exchange Market." Journal of International Money and Finance 11 (3): 304-14. https://doi.org/https://doi.org/10.1016/0261-5606(92)90048-3.
HENDERSHOTT, TERRENCE, CHARLES M JONES, and ALBERT J MENKVELD. 2011. "Does Algorithmic Trading Improve Liquidity?" The Journal of Finance 66 (1): 1-33. https://doi.org/10.1111/j.1540-6261.2010.01624.x.
Hendershott, Terrence, and Ryan Riordan. 2009. "Algorithmic Trading and Information." https://econpapers.repec.org/RePEc:net:wpaper:0908.
Neely, Christopher J., 2002, The temporal pattern of trading rule returns and exchange rate intervention: Intervention does not generate technical trading rule profits, Journal of International Economics 58, 211-232
Osler, Carol L, 2005, Stop-loss orders and price cascades in currency markets, Journal of International Money and Finance 24, 219-241.
Chaboud, Alain, Ben Chiquoine, Erik Hjalmarsson, and Clara Vega, 2009, Rise of the machines: Algorithmic trading in the foreign exchange market, Working paper, Federal Reserve System.
Brock, William, Josef Lakonishok, and Blake LeBaron, 1992, Simple technical trading rules and the stochastic properties of stock returns, Journal of Finance 47, 1731-1764.
Nick K. Lioudis, June 14, 2018 10:49 PM EDT, Strategies for part-time forex traders, https://www.investopedia.com/articles/forex/11/part-time-forex-strategies.asp.
Jean Folger, August 5, 2018 8:53 AM EDT Automated Trading Systems: The Pros and Cons, https://www.investopedia.com/articles/trading/11/automated-trading-systems.asp.
Crescenzio Gallo, July 20, 2014, The Forex Market in Practice: A Computing Approach for Automated Trading Strategies, https://www.omicsonline.org/open-access/the-forex-market-in-practice-a-computing-approach-for-automated-trading-strategies2162-6359.1000169.php?aid=28656.
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