Trading Systems. Jerzy Korczak

Transcription

1 Trading Systems Jerzy Korczak 1

2 What is a trading systems? A trading system is a group of specific rules, or parameters, that determine entry and exit points for a given equity. These points, known as signals, are often marked on a chart in real time and prompt the immediate execution of a trade. Here are some of the most common technical analysis tools used to construct the parameters of trading systems: Moving averages Stochastic Oscillators Relative strength Bollinger bands 2

3 Trading rule combination Often, two or more of these forms of indicators will be combined in the creation of a rule. Average Cross-Over System Using 5 and 20 Moving Averages 3

4 Comment "anyone with average intelligence can learn to trade, however, it is much easier to learn what you should do in trading than to do it. Developing an effective trading system is by no means an easy task. It requires a solid understanding of the many parameters available, the ability to make realistic assumptions and the time and dedication to develop the system. The main markets for which trading systems are suitable are the equity, forex and futures markets. 4

5 NASDAQ National Association of Securities Dealers Automated Quotations Stock exchange Location New York City, United States Founded February 4, 1971 Owner NASDAQ OMX Group MarketCap US$8trillion (2016) Indexes NASDAQ Composite NASDAQ-100 NASDAQ Biotechnology Index Trading schedule NASDAQ has a pre-market session from 7:00am to 9:30am, a normal trading session from 9:30am to 4:00pm and a post-market session from 4:00pm to 8:00pm 5

6 Normal trading sessions on the main orderbook (SETS) are from 08:00 to 16:30 local time every day of the week except Saturdays, Sundays and holidays. Type Location Founded Owner Key people Currency No. of listings Market cap Volume Indices Website Stock exchange London, United Kingdom 1801; 215 years ago London Stock Exchange Group Donald Brydon (Chairman) Xavier Rolet (CEO) Pound sterling 2,292 (as of September 2016) 6.06 trillion GBP (De c 2014) [1] 1.16 trillion GBP (Dec 2014) FTSE 100 Index FTSE 250 Index FTSE 350 Index FTSE SmallCap Index FTSE All-Share Index change.com 6

7 LSE 7

8 STOCK MARKET Google Finance Yahoo Finance ETRADE Thinkorswim TradeKing Stock Assault Volcone Analyzer Pro Virtual trading Investools JStock Trading Tools FOREX MetaTrader Signal Software TradeStation Ninja Trader FibonacciKiller 8

9 Constructing a trading system 1. Setup- data, software 2. Design models, algorithms, trading rules 3. Decision making 4. Testing 5. Trading 6. Troubleshooting and evolution Your trading system must make money, limit risk, be robust 9

10 Stock Screeners A stock screener is a tool that investors and traders can use to filter stocks based on user-defined metrics. Stock screeners are offered on many websites and trading platforms, and they allow users to select trading instruments that fit a certain profile set of criteria. Some trading platforms and software allow users to screen using technical indicator data. For example, one could filter for stocks that are trading above their 200- day moving average or whose Relative Strength Index (RSI) values are between a specified range. 10

11 JStock Stock market data 11

12 JStock Time series visualization 12

13 JStock - Indicators 13

14 JStock - Indicators Downward trend Upward trend MACD = EMA[12] of price - EMA[26] of price where: EMA[12] = 12 days exponential moving average, EMA[24] = 24 days EMA Interpretation When MACD is positive, the stock is moving in upward trend. When MACD is negative, the stock is moving in downward trend. 14

15 JStock - Oscillator RSI = [100/(1 + RS)] where: RS = (Avg. of n-day up closes)/(avg. of n-day down closes), n= days (most analysts use 9-15 day RSI) Interpretation The RSI ranges from 0 to 100. If the RSI approaches 30 a stock is considered oversold. A stock is considered overbought around the 70 level and you should consider selling. 15

16 JStock - Candlestick 16

17 JStock - Download Indicators 17

18 JStock Editing of stock indicators Logical operation Equality Arithmetic operation Constant Stock relative history Stock history Real time stock information Alert Text Text 18

19 JStock Editing... 19

20 JStock Editing... 20

21 JStock Editing... 21

22 JStock Simulation 22

23 JStock Simulation of indicators 23

24 JStock Simulation 24

25 JStock Stock of Interest 25

26 JStock Scanning 26

27 JStock Portfolio Management 27

28 JStock Portfolio Management 28

29 JStock Portfolio Management 29

30 Google Finance 30

31 Google Finance 31

32 Google Finance - Technicals 32

33 Google Finance Stock Screener 33

34 Google Finance Stock Screener 34

35 Yahoo Finance Stock Screener 35

36 Yahoo Finance Stock Screener 36

37 Quandl Service for professionals 37

38 Quandl 38

39 Quandl 39

40 SmartStocks.com 40

41 SmartStocks.com SmartStocks.com provides a live stock game using real stock quotes. Learn how to trade online and invest in the stock market without risking your hard earned money. Test your new investment strategy before trying it out for real. Track the return of multiple online accounts in one place. You will receive $1 million of virtual money to invest as you see fit. Each night rankings are calculated based upon the percentage increase or decrease of each user's portfolio from the start of the month. Create a group for you and all of your friends to compete against each other. Each group member will be ranked according to their portfolio returns for the month and according to their portfolio return on their initial $1 million dollars. 41

42 SmartStocks.com How to Play: 1. Sign up for an account 2. Login to your account 3. Join up to 4 groups (a password may be required for some groups) 4. Identify ticker symbols of stocks to trade by reviewing sample portfolios or by using the ticker lookup function 5. Begin trading Teachers/Professors and Group Leaders 1. Sign up for an account 2. Login to your account 3. Create a group with an optional password 4. Invite others (students) to create their own accounts and join your group (distribute group name and password if applicable) 5. View group members' rankings, portfolios, and trading history 42

43 SmartStocks- Portfolio 43

44 SmartStocks Portfolio example 44

45 SmartStocks Stock Chart 45

46 SmartStocks Stock Portfolio 46

47 FOREX Contests & Competitions in

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