This thesis deals with the topic of money management and various methods of its use in trading on the stock markets. The work tries to show the important role played by money management and how such discipline can fundamentally change the behavior of business systems. There is also pointed out the importance of reconciling money management and psychological factors of a trader. In the practical part, I work with real data from the Commodity Exchange and by using Monte Carlo analysis I simulate how a suitable money management can gigantically affect the overall system performance.

This study examines whether a trend following managed futures fund can improve its performance by changing its position sizing method. Trades for a simple trend following strategy was simulated on 47 futures contracts over the period 1990-2012, using varying methods for determining position size. Eleven different position sizing methods where investigated, among them Target Volatility, Omega Optimization and correlation ranking methods. Both methods previously detailed in academic papers as well as novel approaches was implemented, and compared to the baseline performance of the strategy. The results from this study show that the Target Volatility method, and to some degree Max Drawdown Minimize and Dynamic Stop Lock-In, improved the performance of strategy. The final recommendation for a trend following managed futures fund is to use Target Volatility as position sizing method, possibly in conjunction with Max Drawdown Minimize. / Denna studie undersöker huruvida en trendföljande managed futures-fond kan förbättra sina resultat genom att ändra positionsskalningsmetod. Handel med en enkel trendföljande strategi simulerades på 47 futureskontrakt åren 1990-2012, för olika metoder att för bestämma positionsstorlek. Elva positionsskalningmetoder undersöktes, exemplevis Target Volatility, Omega Optimization och metoder baserade i korrelationsrankning. Både tidigare beskrivna metoder och nya tillvägagångssätt testades, och jämfördes med den grundläggande strategin med avseende på risk och avkastning. Denna studies resultat visar att framförallt Target Volatility, och i viss uträckning Max Drawdown Minimize och Dynamic Stop Lock-In förbättrade nyckeltalen för den handlade strategin. Den slutgiltiga rekommendationen för en trendföljande managed futures-fond är att använda Target Volatility som positionsskalningsmetod, möjligtvis tillsammans med Max Drawdown Minimize.

Diploma thesis focuses on the practical methods and application of technical analysis in international markets. Thesis is divided in three thematic parts. The first one focuses on the history and basic concepts of international exchange markets, futures contracts and the definition of basic terms which are essential for understanding the markets. Second part focuses on the methods of technical analysis which can be divided in two sections -- technical indicators and price action. All mentioned instruments are shown in real market data and charts. Third part focuses on the application of technical analysis in a chosen international market. The application goes through our trading system which combines appropriate technical indicators with price action formation supplemented by methods of money management. Several simulations were made on tested real historical data. The simulations differed in money management settings (automated stoploss tracking, Kelly's formula, Fixed ratio). To find the worst possible trading scenario was used Monte Carlo analysis.

The content of my master´s thesis is the creation of automatic trading system which will be applied on real trading account mainly on financial markets of currency pairs. The thesis is divided to several parts where the theoretical part will introduce the problem of trading on financial markets. Following part analyses needs of small trader on the financial markets, selecting suitable instruments which will be used in automatic trading system. The part of the own solution design will create the mentioned automatic trading system which will be applied on broker´s demo account where the system will be tested mainly on historical data. Based on test results, system will be optimized and in case of usable results of testing also system will be applied on real trading account in trading company.

The aim of this work is to create an automated trading system for trading currency pairs using technical indicators and technical analysis. The proposed trading system is tested and optimized on historical price data. To verify the robustness of the proposed system was used walk-forward analysis. Automatic trading system also uses rules for position sizing and risk management of open positions. Created system is profitabel on historical price data and also in the walk-forward analysis.