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Sections Магистр ДонНТУ Горолевич Максим Алексеевич

Gorolevich Maxim Alekseevich

Faculty: Computer science
Speciality: Economic cybernetics

 

Theme of master's work:

Analysis of computer trading systems based on the sliding factor of a close prices variation

The supervisor: Smirnov Alexander Vladimirovich

About author

 

The author's abstract of master's work

I. The Purposes and problems which should be decided

         The economic system which the specialised exchange is, is subject to accidents. It, of course, not acts of nature or its destructions. In this case change of an orientation of a trend is meant "accident". Already new subjects thus dominate. It either buyers, or sellers. Both buyers, and sellers have a presentiment of this accident. Gradually they by turns start to close the items. The more close the market turn, the this process accrues. It leads to the following: gradually at a trend (ascending or descending) starts to increase volatility. From the point of view of the theory of probability and the mathematical statistics, along with unsteadiness the price schedule on a population mean m (t) there is an "accident" harbinger - dependence sigm (t) — unsteadiness on a dispersion. In theory accidents the dispersion increase testifies to coming nearer accident (in the given situation it is a market turn).
The variable volatility is for a long time already the indicator of approach of a turn of the market. However, itself volatility, and its sharp growth, poorly predicative is more true. It is necessary to use volatility to a complex with amplitude of a trend.
The purpose of the given degree work is comparative research of three indicators of turns of the market:

  1. Known, evaluating growth sigm (t), i.e. volatility;
  2. The sliding factor of a variation where sigm (t) it is evaluated on the basis of current prices of closing;
  3. The sliding factor of a variation, where sigm (t) it is evaluated on the basis of average arithmetic each bar sigm (t).

         The last two original indicators are offered by supervisor of studies Smirnov A.V. Thus, as private criteria of quality known and the offered indicators the following was used:

  1. Average yield on the accounting period end;
  2. Sharp Factor — the popular indicator which evaluates excess of optimism of the trader over average riskiness;
  3. Quantity of bargains for an accounting period;
  4. profit-factor

Multi-criterion the analysis allows to evaluate from different items advantages and defects of compared indicators.
As the market liquid market Forex (currency index EUR/USD from 01.01.2002 has been taken till 30.05.2003.
Thus, problems which it is necessary to decide the following in work:

  1. To develop identical elementary computer trading systems and in their basis to put compared technical indicators;
  2. To compare these systems on a basis мulti-criterion the approach.

II. Urgency and motivation of a theme of work

              The given theme is rather actual, as Ukraine is a member of the WTO. In the WTO of 90-95 % of all trading operations it is carried out through specialised exchanges. So there was, that the former USSR and the countries which were formed after its disintegration, did not prosecute theoretical and practical subjects. We have initially seriously lagged behind in this question because of a policy of the state. This defect should be eliminated urgently and the given work partially solves these problems. In the world set of technical indicators (nearby 3000) Such their big number both is good, and it is bad. It is good, that there is a choice, and the trader can choose for itself the most suitable indicators. It is bad, that the set of indicators speaks about their poor quality.
Urgency of the given work that practical and theoretical researches known and new indicators by means of known methods of economic cybernetics are made. This serious analysis and its results will promote the offered indicators in real computer trading systems of the Ukrainian and foreign traders. 

III. Prospective scientific novelty

Prospective novelty of work consists in the following:

  1. In comparative the analysis of trading computer systems on the same price data (it allows indirect methods to evaluate the offered indicators)
  2. The new original approach for an estimation of efficiency of considered technical indicators — use «АОЭ»
  3. Recommendations about their practical application in practice

IV. Planned practical results

It is necessary to carry to planned practical results of the given work:

  1. Recommendations about optimisation of thresholds of decision-making at formation of trading signals
  2. Conclusion about necessity of application of the offered technical indicators of the elementary filters in the form of simple sliding averages (m=2. 3)

V. The Review of researches and workings out on a theme

At global level are found more than 20 publications on the given subjects.
At national level search of sources of results has not given.
At local level to the given theme attends teachers of chair PMI of Smirnov A.V., Gizatulin A.M., Gurjanova T.V.'s post-graduate students, etc.

VI. The Summary of own results which are available by the moment of end of work on the author's abstract

At the moment of a writing of the given abstract the sufficient volume of work is performed on the degree project. Proceeding from empirical data, the long-term behaviour of indicators.

On the basis of the received information modelling behaviour at the exchange, basing on the signals generated by the given indicator has been conducted. The estimation of the given behaviour which has allowed to schedule a starting point at realisation of the further optimisation of the indicator has been made. These data are one of key indicators of efficiency of indicators.

On the given optimisation of internal characteristics of the indicator, based on a finding of the best results on the basic indicators of efficiency of technical indicators which will allow to raise yield at application of the given indicators is conducted.
After deducing of the optimised characteristics of indicators, it will be possible to conduct their estimation and comparison objectively.

VII. The Conclusion, the list of the basic results and research prospects

During researches useful experience on behaviour modelling at exchange, optimisation of technical indicators has been received. The received experience can be effectively applied at the further research work connected with the technical analysis of the market.
Already at the given stage of work it is possible to assert, that the received technical indicator has good indicators of efficiency and gives enough high level of profit at use.
Proceeding from the evaluated efficiency, it is possible to predict, that further the given indicators will show the productivity similar or exceeding productivity of other widespread technical indicators, and they can be used successfully as separately, and in a complex with other indicators that will supply high economic indicators of modern computer trading systems and will allow to receive essential indicators of yield of these systems at minimum investment risks.

 

The list of used literature

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