How to build a trading system: theory and implementation

This thesis aims to bring the reader to the world of trading. Being a risky way to invest money, a complete treatment of the subject becomes necessary.
The first part of the work examines the theory that lies behind the technical analysis: from the foundations of Charles Dow to the cyclical analysis passing through the Elliott Wave Theory.
The central part of the discussion analyses how in the last decades is changed the way to trade. To do that, a brief exposure of the recent technological evolution is proposed. In addition, a first theoretical taste on how to build a trading system is reported.
The last part is the core of the entire thesis. It shows the implementation of two trading systems created and tested by the undersigned.
The first system uses an indicator called Demand Index to generate entry and exit positions and is tested mainly on daily stock charts.
The second one instead, exploits the format of the MACD indicator but adds a new function to the original code that involves the Kaufman Adaptive Moving Average(KAMA). It is tested on both daily and intra-day charts.
All the two systems prove interesting features and positive results in terms of Net Profit, Profit Factor, Return on Initial Capital and Profitable Percentage.

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Abstract This thesis aims to bring the reader to the world of trading. Being a risky way to invest money, a complete treatment of the subject becomes necessary. The first part of the work examines the theory that lies behind the technical analysis: from the foundations of Charles Dow to the cyclical analysis passing through the Elliott Wave Theory. The central part of the discussion analyses how in the last decades is changed the way to trade. To do that, a brief exposure of the recent technological evolution is proposed. In addition, a first theoretical taste on how to build a trading system is reported. The last part is the core of the entire thesis. It shows the implementation of two trading systems created and tested by the undersigned. The first system uses an indicator called Demand Index to generate entry and exit positions and is tested mainly on daily stock charts. The second one instead, exploits the format of the MACD indicator but adds a new function to the original code that involves the Kaufman Adaptive Moving Average(KAMA). It is tested on both daily and intra-day charts. All the two systems prove interesting features and positive results in terms of Net Profit, Profit Factor, Return on Initial Capital and Profitable Percentage. iii

Tesi di Laurea Magistrale

Facoltà: Economia

Autore: Marco Matteucci Contatta »

Composta da 79 pagine.

 

Questa tesi ha raggiunto 484 click dal 13/02/2018.

Disponibile in PDF, la consultazione è esclusivamente in formato digitale.