Algorithmic Trading System for future contract of gold coin based on intra-day data
Subject Areas : Journal of Investment KnowledgeMohammad Ali Rastegar 1 , Amin Sedaghatipour 2
1 - Assistant professor of industrial and systems engineering faculty, Tarbiat Modares university
(Corresponding Author)
2 - MSc of financial engineering, Tarbiat Modares University
Keywords: Algorithmic trading, Gold coin future contract, Technical Analysis, Conditional Value at Risk,
Abstract :
Today, with the prevalence of online trading and algorithmic trading, it is required that the trading data of financial markets be analyzed faster and become profitable decision. The purpose of this paper is to develop an automated and algorithmic trading system on gold coin future contracts in Iran Mercantile Exchange. According to the suitableness of technical analysis for two-sided markets (long and short position), 8 technical tool signals has been used for trading system. In order to develop the trading system, MOPSO algorithm is used with the aim of optimizing the efficiency function and Conditional Value at Risk (CVaR). Besides for completing the risk management system, optimized take profit and stop loss has been specified for future contract. The results show that the designed trading system has a more favorable ratio of return to risk than other competitor strategies such as buy & hold and sell & hold. Also the time frame of 30 minutes seems appropriate for designing a trading system based on gold futures contract.
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