Optimization of the financial market trading algorithms

Abstract

One of the most perspective directions on the financial market is an algorithmic trade and creation of trade systems. There is a set of various financial instruments and tactics of trade. But the market changes every day and the problem of optimization of trade strategy become actual under new realities of the market.

In this work the structure of trade algorithms, the rules of their construction and optimization under various tools will be considered. Also the analysis of indicators of their efficiency and an assessment of their stable work will be performed.

The optimized parameters of trade algorithms have the term of stable work and recommendations about an assessment of the importance of these parameters and the temporary horizons of their working capacity will be made in the research.

Table of contents

Introduction................................................................................................................................... 4

I. Financial markets and access to them..................................................................................... 4

1.1 Brokers................................................................................................................................. 5

1.2 Trade platforms................................................................................................................... 5

1.3 MT4 trade platform............................................................................................................ 5

1.4 MQL4 programming language.......................................................................................... 6

II. Description and optimization of trading algorithm.............................................................. 6

2.1 The description of the chosen algorithms and tools......................................................... 6

2.2 The algorithms based on false breakdowns of price channels........................................ 7

2.3 The algorithms based on price gaps.................................................................................. 8

2.4 Testing trade algorithms..................................................................................................... 9

2.5 Allocation of optimization parameters............................................................................ 11

2.6 Optimization of trade algorithms.................................................................................... 11

Conclusion.................................................................................................................................... 13

Bibliography................................................................................................................................ 14

Introduction

Today there is a set of trade algorithms for the automated transactions or giving the signals of the possible profitable transaction on financial markets. Each trader chooses the most effective, in his opinion, algorithm of trade due to the tool suitable for it. Prior to preceding with a new financial instrument the necessity to optimize trade algorithm on this concrete tool and the current state of the market arises.

The main method of the trade algorithm optimization is the search for numerical or logical values of parameters of algorithm, choosing more profitable strategy on a limited interval of time. But at the same time there is a complex problem of a choice of parameters of the algorithm suitable for optimization, also a choice of already optimized values of these parameters, which will allow using this algorithm for profitable trade.

Moreover there is a problem of verification of the significance of the optimized parameters and definition of the system capacity horizon periods.

The research objective is the definition of methods of optimization of trade algorithms, consideration of approaches to allocation of parameters for optimization, and also the ways of completion of algorithm for more effective optimization.

The research tool will be the specific software, which provides an access to the trade on the financial market, and also the tools for the description of trade algorithms built in it, as well as their testing and optimization.

In the course of the research a comparison of various construction approaches and optimization of trade algorithms an assessment of their efficiency and the experiments for receiving practical experience of application of results of work will be conducted.

Thereafter, firstly, the trade algorithms for various financial instruments will be optimized in the practical part of the research. Secondly, the recommendations regarding methods of trade based on these algorithms will be presented. Thirdly, the calculated temporary horizons of application of data of systems will be provided.

In the conclusion the recommendations concerning the practical application of the received results of the research will be made.

04.09.2018 16:23