An Automatic Trading System and Analysisf Strategies
Date Issued
2008
Date
2008
Author(s)
Chou, Chun-Chih
Abstract
In this thesis, we implement an automatic trading system and evaluate some trading strategies. Simulated and practical operation can be executed automatically by real-time intraday data. System can capture transaction data provided by the market. It can also be used as a research platform. About the evaluation of strategies, we mainly focus on the profitability aspects and use the daily transaction data of Taiwan''s Weighted Index futures from 1999 to 2007 and the Dow Jones index futures from 1996 to 2007. By back-testing of these data, we analyze several well-known trading strategies such as MA, KD, RSI, MACD, William %R, and so on.
Subjects
index futures
system
strategy
Type
thesis
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ntu-97-J94922029-1.pdf
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