Parameterized Trade on the Futures Market on the WIG20

Iwona Piekunko-Mantiuk

Abstract

Research background: Market participants have been trying to forecast future price movements and create tools to facilitate making the right investment decisions since the beginning of the operation of stock exchanges. As a result, there are an increasing number of methods, tools, strategies and models to make the decision process which is becoming extremely complicated. Purpose: to maximize the simplification of trade rules and to check whether it is possible to parameterize transactions based on the length of price movements in order that the system built in this way would generate profits. Research methodology: empirical research was conducted on data from the period between 20/01/1998 and 29/06/2018 covering listing futures contracts for the WIG20. First, the length of the price movements was determined according to the closing rate, then the frequency of individual lengths of the price movements was determined so transaction parameters were fixed. Next, the parameters were optimized and the rates of return from the tested options were examined. Result: It is possible to parameterize transactions based on the length of price movements and to create a simple investment strategy which generates profits. In the audited period, the optimal length of traffic was 25 points with a simultaneous use of a profit/loss ratio of 1 : 1, 1 : 2 or 1 : 3. Novelty: an original investment strategy based on the parameterization of transactions that is based on length of price movement and profit/loss ratio.
Author Iwona Piekunko-Mantiuk (FEM / DME)
Iwona Piekunko-Mantiuk,,
- Department of Marketing and Entrepreneurship
Journal seriesFolia Oeconomica Stetinensia, ISSN 1730-4237, e-ISSN 1898-0198, (N/A 20 pkt)
Issue year2019
Vol19
No1
Pages114-125
Publication size in sheets0.55
Keywords in Englishparameterized trade, futures contract, futures on WIG20, futures contract market, G11, G14, G17
DOIDOI:10.2478/foli-2019-0008
URL https://content.sciendo.com/view/journals/foli/19/1/article-p114.xml?lang=en
Internal identifierROC 19-20
Languageen angielski
LicenseJournal (articles only); published final; Uznanie Autorstwa - Użycie Niekomercyjne - Bez utworów zależnych (CC-BY-NC-ND); with publication
Score (nominal)20
Score sourcejournalList
ScoreMinisterial score = 20.0, 17-02-2020, ArticleFromJournal
Citation count*
Cite
Share Share

Get link to the record


* presented citation count is obtained through Internet information analysis and it is close to the number calculated by the Publish or Perish system.
Back
Confirmation
Are you sure?