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http://dspace.cityu.edu.hk/handle/2031/9143| Title: | Algorithmic Trading in Future Market |
| Authors: | Wong, Chi Fai |
| Department: | Department of Electronic Engineering |
| Issue Date: | 2019 |
| Supervisor: | Supervisor: Mr. Van, T W; Assessor: Dr. Ko, King Tim |
| Abstract: | Simple Moving Average (SMA), Relative Strength Index (RSI) and Moving Average Convergence / Divergence (MACD) is the most popular technical indicators on stock analysis. Retail investors who have less financial knowledge like to determine whether the market is on the uptrend or downtrend by using those indicators provided on the TV news, website, and newspaper. It is interesting to explore the feasibility of profitability trading strategy by using those technical indicators. In this paper, the trading strategy is built by a combination of a different period of the SMA, RSI, and MACD. Historical data of Hang Seng Index Futures (HSI Futures) of the Hong Kong market is used to evaluate the algorithm of the trading signal, simulate the trading signal and optimize the performance of the trading strategy. The result shows that it is possible to build a profitable trading strategy by simple technical indicator only. |
| Appears in Collections: | Electrical Engineering - Undergraduate Final Year Projects |
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| File | Size | Format | |
|---|---|---|---|
| fulltext.html | 148 B | HTML | View/Open |
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