ISSN 2587-814X (print), Russian version: ISSN 1998-0663 (print), |
Sergey Bukunov1, Olga Bukunova1Multi-trend trade system for financial markets
2022.
No. 4 Vol.16.
P. 36–49
[issue contents]
At present, more and more people are beginning to be interested in the field of investment. This is due to the growth in incomes of the population, on the one hand, and development of financial technologies, on the other hand. The problematic situation is analyzed in this article and the main known models, algorithms and indicators used to build trading strategies are considered. A conservative trading strategy based on trend indicators is proposed. The strategy can be an alternative to the popular conservative “buy and hold” strategy. Exponentially moving averages of various orders that reveal the presence of trends of variable duration in the price dynamics of a financial asset are used as system indicators. A distinctive feature of the proposed trading system is the combination in one approach of the trading method that generates trade signals and the rules for position size management. The article contains results of testing a proposed trading strategy based on historical data. A comparative analysis of the results obtained with the results of the “buy and hold” strategy and the strategy based on two exponential moving averages of different orders is carried out. The proposed system can be easily integrated into automated trading systems. The R language was used for data processing and visualization.
Citation:
Bukunov S.V., Bukunova O.V. (2022) Multi-trend trade system for financial markets. Business Informatics, vol. 16, no. 4, pp. 36–49. DOI: 10.17323/2587-814X.2022.4.36.49
|
|