This thesis deals with trading strategy development on foreign market exchange (FOREX) from a perspective of technical analysis. A hypothesis that price data can be used for stable profitable decision making is analyzed. For that purpose, financial data preparation and derived indicators are described in detail. At first, strategies are randomly constructed. Afterward, they are improved iteratively by means of evolution principles. Genetic programming is used in particular. Special attention is devoted to fitness functon definition, on which the progress of strategies depends. Besides usual criterion - profit, other aspects are taken into account. Transactional costs are included in strategy evaluation. Costs have even been increased in comparison with declared values. Some of the best strategies are tested on data, which has not been used for their development. Obtained results did not support the hypothesis. However, process of a strategy search can be improved.
| Identifer | oai:union.ndltd.org:nusl.cz/oai:invenio.nusl.cz:114025 |
| Date | January 2011 |
| Creators | Líbal, Petr |
| Contributors | Šimůnek, Milan, Berka, Petr |
| Publisher | Vysoká škola ekonomická v Praze |
| Source Sets | Czech ETDs |
| Language | Czech |
| Detected Language | English |
| Type | info:eu-repo/semantics/masterThesis |
| Rights | info:eu-repo/semantics/restrictedAccess |
Page generated in 0.0112 seconds