Work detail

Application of technical analysis on algorithmic trading

Author: Bc. Jan Šíla
Year: 2014 - summer
Leaders: prof. PhDr. Ladislav Krištoufek Ph.D.
Work type: Bachelors
Language: English
Pages: 70
Awards and prizes:
Abstract: The thes is takes on the question of profitability of algorithmic trading based on trend and
momentum indicators and examines whether or not it is possible to acquire systematic profits.
It reviews the development of relevant literature
over the last 100 years to determine whether
the inner workings of the market can be quantifi
ed and plausibly modelled. On three major U.S. stock indices
are then tested several different strategies to determine whether in the long-term, passive investment can be outperformed by active trading. Merit of the
work lies in backtesting several strategies and in
terpreting the results according to unique characteristics of the indices.




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