The aim of the thesis was to optimize selected trading strategy in the currency market FOREX. For the optimization was chosen strategy Donchian 5 and 20 and was applied on currency pair EUR/USD. At first was performed backtesting, exit optimization, time optimization and found the importance of position sizing. Then the system was tested in paper trading at broker Admiral Markets, daytrading five minutes chart. Business strategy was optimized and is achieving positive results.

¡@¡@With high liquidity and operating flexibility, futures can not be held for long term and must be restricted by margin requirement. This makes many futures traders prefer day trading to avoid the risk of the price gap of the next trading day. ¡@¡@Day traders tend to operate a trend-following strategy based on technical analysis and actively manage their holding positions. They take stop-loss strategy in the wrong direction to limit the damage, while take raise-stake strategy in the right direction to increase profits. A program trading system can even be utilized to carry out the strategy immediately and mechanically. ¡@¡@This study use Taiwan Stock Exchange Capitalization Weighted Stock Index Futures as our sample. It simulates the performance of trend-following strategy of day traders by using moving average as basic signals, combined with the trading volume and Bollinger Band. ¡@¡@We found that, in medium-term and long-term time frame (30-60 minutes), active management of stop-loss and overweight strategy can still change the distribution of performance and earn positive returns, even if moving average technical analysis is not as effective as expected.

The diploma thesis deals with the possibilities of using technical analysis to trade on the financial markets, particularly in futures trading derived from stock market indexes. Specifically specifies selected trading system and then analyzes the results achieved by this system.

Thesis (MBA (Business Management))--University of Stellenbosch, 2009. / ENGLISH ABSTRACT: The purpose of this report is to investigate whether the returns of five different trading systems applied is able to outperform the return of a Buy & Hold (B&H) strategy when applied to the Johannesburg Stock Exchange/Financial Times Stock Exchange (JSE/FTSE) Top 40 Index future contract (ALSI). The study starts with an overview of theoretical and empirical studies regarding technical trading systems as well as the application of these technical trading systems in various strategy formats. Five common trading systems were selected for the test. They include the Volatility Channel, the Bollinger Channel Breakout, the Donchian Channel, the Dual Moving Average and the Triple Moving Average systems. The trading systems were applied in three different types of strategies. In the first test the systems were employed using randomly selected parameters to generate trading signals. In the second test the systems were optimised to select the parameters that would yield the most profitable returns over the test period. Finally in the third test a stop loss was added to the systems to investigate whether it would improve returns. In virtually all tests the systems outperformed the B&H approach. This was primarily due to the collapse of world financial markets in 2008 that caused the systems, which are all trend following by nature, to generate large returns. If it had not been for this event, the trend-following systems would all have underperformed the total return generated by the B&H strategy over the duration of the test period. The tests revealed that the selection of the parameters that generate the trade signals for the trading systems can drastically influence the profitability of a trading system. Furthermore the implementation of stop-loss strategies does not necessarily improve the return or drawdown that a system displays, as several of the systems were negatively influenced by the implementation of the stop-loss strategy. / AFRIKAANSE OPSOMMING: Die doel van hierdie verslag is om te ondersoek of die opbrengs van vyf verskillende verhandelingstelsels die opbrengs van die Koop-en-Hou-strategie kan klop soos toegepas op die JSE/FTSE Top 40 Indeks termynkontrak (ALSI). Die studie begin met ’n oorsig oor teoretiese en empiriese studies oor tegniese verhandelingstelsels, asook die toepassing van hierdie tegniese stelsels in verskeie strategiese formate. Vyf algemene verhandelingstelsels is gekies vir die ondersoek, naamlik die Volatiliteitskanaal (Volatility Channel), die Bollinger Kanaal Uitbreek (Bollinger Channel Breakout), die Donchian Kanaal (Donchian Channel), die Tweeledige Bewegende Gemiddelde (Dual Moving Average) en die Drieledige Bewegende Gemiddelde (Triple Moving Average). Die stelsels is op drie verskillende tipes stategieë toegepas. In die eerste toets was die stelsels geïmplementeer deur lukraak gekose parameters te gebruik om verhandelingseine voort te bring. In die tweede toets was die stelsels geoptimaliseer deur die parameters te kies wat die mees winsgewende opbrengs oor die toetsperiode sou voortbring. In die derde toets was ’n staakverlies (stop loss) geïmplementeer om te ondersoek of dit die opbrengs sou verbeter. Feitlik al die toetse het getoon dat die verhandelingstelsels die Koop-en-Hou-benadering geklop het. Aangesien al die stelsels die algemene tendens in die mark volg, het hulle hoë opbrengste getoon hoofsaaklik as gevolg van die beermark wat die wêreld se finansiële markte in 2008 gekenmerk het. As hierdie gebeurtenis nie plaasgevind het nie, sou hierdie stelsels swakker gevaar het as die Koop-en-Hou-strategie gedurende die tydperk van die toetsperiode. Die toetse het aangedui dat die keuse van die parameters wat verhandelingseine vir die stelsels gegenereer het, die winsgewendheid van ’n verhandelingstelsel drasties kan beïnvloed. Die implementering van ’n staakverlies- (stop-loss) strategie verbeter nie noodwendig die opbrengs van ’n stelsel nie, aangesien verskeie stelsels negatief beïnvloed was deur die staakverlies-strategie.

本研究主要在探討投資流程之行為模式對股票型基金績效之影響，研究內容包括探討拜訪上市公司、下單積極度、下單集中度、及停損機制與基金投資績效之關係。 研究發現：（1）國內及外資券商公布評等報告前，皆有資訊事先洩漏之情況；法人說明會雖具有資訊內涵，但其資訊內涵於見報日即反應在股價上，投信公司透過拜訪上市櫃公司取得第一手資訊，才是提升基金績效之有效方法。（2）高下單積極度將對個股股價產生價格衝擊，並產生買進價格偏高及賣出價格偏低之劣勢，均不利於基金績效表現。（3）每年微幅差距之交易成本，經過複利計算，累積多年後之差異程度將非常驚人，投信公司應致力於提升下單集中度、節省交易成本，間接提升基金投資報酬率。（4）停損機制對基金績效有正面之影響，為減少經理人產生錯置效應，投信公司應確實執行停損機制，避免投資損失擴大。 依據研究結果，提出建議如下：（1）在資訊不對稱的環境下，投資人無法知悉基金經理人之投資操作，因此隱藏著基金經理人的道德危險，主管機關應善盡監督管理之責，以確保投資人權益。（2）投信公司及基金經理人應勤於拜訪上市櫃公司、謹慎訂定股票買賣價格區間、致力於節省投資交易成本、及落實損失檢討機制以提升投資績效。（3）投資人申購基金除了參考以往投資績效外，也應將基金投資交易成本高低列為參考之依據，避免基金投資交易成本過高侵蝕獲利。 / This study examines the behavior of equity funds in relation to the investment process, Include visits to companies, actively traded stock level, the concentration of stock trading, and stop-loss mechanism of the effect on fund performance. This study found that: domestic and foreign brokerages, before reporting their stock recommendations, usually leak information in advance. Although investor conferences have the information content, but its information content lies in the newspapers on the day of reaction in the stock price. Securities Investment Trust, to visit the company's way to obtain first-hand information to effectively improve the investment performance of equity funds; a high degree of active stock trading affects the stock price by resulting in a high purchase price and low selling price, which is not conducive to equity fund performance; As a result of the gap between the cost of each transaction and the effect of compound interest, there is a high degree of difference after many years. As such, securities investment trust companies should strive to enhance the concentration of trading to reduce transaction costs, thereby increasing the investment return of equity funds; and as stop-loss mechanisms have a positive effect on the performance of equity funds, securities investment trust companies should implement stop-loss mechanisms to avoid loss of the expansion. Based on the results of this study, the recommendations include: in the context of asymmetric information, investors have no knowledge of how the fund manager may conduct investment operations; therefore, regulatory authorities should take on the responsibility of protecting the interests of investors; securities investment trust companies and fund managers should be prudent when setting a stock trading price range to decrease investment transaction costs and minimize losses to improve investment performance; as high transaction costs erode profits, investors should also consider the level of transaction costs, which should be listed on a reference basis, in addition to past investment performance.

The purpose of this thesis is: (i) to produce an in-depth data analysis and computer-based simulations of the market environment to investigate whether financial stability is affected by the presence of High-Frequency investors; (ii) to verify how High-Frequency Trading and financial stability interact with each other under non-linear conditions; (iii) whether non-illicit behaviours can still lead to potentially destabilising effects; (iv) to provide quantitative support to the theses, either from the audit trail data or resulting from simulations. Simulations are provided to test whether High-Frequency Trading: (a) has an impact on market volatility, (b) leads to market splitting into two tiers; (c) takes the lion's share of arbitrage opportunities. Audit trail data is analysed to verify some hypotheses on the dynamics of the Flash Crash. The simulation on the impact of High-Frequency Trading on market volatility confirms that when markets are under stress, High-Frequency Trading may cause volatility to significantly increase. However, as the number of ultra-fast participants increases, this phenomenon tends to disappear and volatility realigns to its standard values. The market tiering simulation suggests that High-Frequency traders have some tendency to deal with each other, and that causes Low-Frequency traders also to deal with other slow traders, albeit at a lesser extent. This is also a kind of market instability. High-Frequency Trading potentially allows a few fast traders to grab all the arbitrage-led profits, so falsifying the Efficient Market Hypothesis. This phenomenon may disappear as more High-Frequency traders enter the competition, leading to declining profits. Yet, the whole matter seems a dispute for abnormal gains only between few sub-second traders. All simulations have been carefully designed to provide robust results: the behaviours simulated have been drawn from existing literature and the simplifying assumptions have been kept to a minimum. This maximises the reliability of the results and minimizes the potential of bias. Finally, from the data analysis, the impact of High-Frequency Trading on the Flash Crash seems significant; other sudden crashes occurred since, and more can be expected over the next future. Overall, it can be concluded that High-Frequency Trading shows some controversial aspects impacting on financial stability. The results are at a certain extent confirmed by the audit trail data analysis, although only indirectly, since the details allowing the match between High-Frequency traders and their behaviour are confidential and not publicly available Nevertheless, the findings about HFT-induced volatility, market segmentation and sub-optimal market efficiency, albeit not definitive, suggest that careful monitoring by regulators and policy-makers might be required.

Práca si kladie za cieľ vytvorenie obchodného systému pre intradenné obchodovanie US akciových indexov. Autor sa v teoretických východiskách zameriava na vysvetlenie základných pojmov obchodovania US indexov na intradennej báze a obchodovania všeobecne. V ďalšej kapitole je popísaná súčastná situácia – tvorba obchodného plánu a vysvetlené principy na ktorých je plán založený. V návrhovej časti je predstavený kompletný systém pre intradenné obchodovanie US akciových indexov.

Abstract The thesis deals with the priváte banking in the Czech Republic and in Liechtenstein. The goal is to analyze concrete services that the client can expect in both of these countries. Large topic in this thesis is the lombard credit, which is quite a typical product in western countries but not that known among Czech investors. As well as the thesis describes all the mechanisms around it.

Made available in DSpace on 2010-04-20T21:00:36Z (GMT). No. of bitstreams: 4 Daniel Guedini.pdf.jpg: 2593 bytes, checksum: b9f66c6e9af5d94ff028f0092fbf9114 (MD5) Daniel Guedini.pdf.txt: 116251 bytes, checksum: 11ea61b001a20cef77fcf9db8c74c28d (MD5) license.txt: 4712 bytes, checksum: 4dea6f7333914d9740702a2deb2db217 (MD5) Daniel Guedini.pdf: 1363558 bytes, checksum: 4e6b49114a354eeaa85c0d6710a75c84 (MD5) Previous issue date: 2010-01-28T00:00:00Z / Diante do inédito momento vivido pela economia brasileira e, especialmente, pela bolsa de valores nacional, principalmente após a obtenção do grau de investimento pelo Brasil, este trabalho aborda um tema que ganhou um enorme espaço na mídia atual que é a análise técnica. A partir de uma amostra de 37 ações listadas na Bolsa de Valores de São Paulo no período compreendido entre janeiro de 1999 e agosto de 2009, este trabalho examina se a análise técnica agrega valor 'as decisões de investimentos. Através da elaboração de intervalos de confiança, construídos através da técnica de Bootstrap de inferência amostral, e consistentes com a hipótese nula de eficiência de mercado na sua forma fraca, foram testados 4 sistemas técnicos de trading. Mais especificamente, obteve-se os resultados de cada sistema aplicado às series originais dos ativos. Então, comparou-se esses resultados com a média dos resultados obtidos quando os mesmos sistemas foram aplicados a 1000 séries simuladas, segundo um random walk, de cada ativo. Caso os mercados sejam eficientes em sua forma fraca, não haveria nenhuma razão para se encontrar estratégias com retornos positivos, baseando-se apenas nos valores históricos dos ativos. Ou seja, não haveria razão para os resultados das séries originais serem maiores que os das séries simuladas. Os resultados empíricos encontrados sugeriram que os sistemas testados não foram capazes de antecipar o futuro utilizando-se apenas de dados passados. Porém, alguns deles geraram retornos expressivos e só foram superados pelas séries simuladas em aproximadamente 25% da amostra, indicando que a análise técnica tem sim seu valor. / Faced with unprecedented time lived by Brazilian`s economy and, especially, the national stock exchange, mainly after obtaining the investment grade for Brazil, this paper addresses a theme that has deserved a huge space in the mainstream media that is technical analysis. From a sample of 37 stocks listed on the Stock Exchange of Sao Paulo in the period between January 1999 and August 2009, this paper examines if the technical analysis may or may not add value to investment decisions. Through the development of confidence intervals, constructed using the technique of Bootstrap sample inference, and consistent with the null hypothesis of market efficiency in its weak form, we tested 4 technical systems of trading. More specifically, we obtained the results of each system applied to the original series of the assets. Then we compared these results with the average of the results obtained when the same systems were applied to 1000 simulated series, according to a random walk, of each asset. If markets are efficient in its weak form, there would be no reason to find strategies with positive returns based only on historical values of assets. That is, there would be no reason for the results of the original series to be larger than those of the simulated series. The empirical results found here suggested that the systems tested were unable to anticipate the future using only past data. However, some of them have generated significant returns and were surpassed only by the series simulated in approximately 25% of the sample, indicating that technical analysis does have value.