Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/266795 
Year of Publication: 
2018
Citation: 
[Journal:] e-Finanse: Financial Internet Quarterly [ISSN:] 1734-039X [Volume:] 14 [Issue:] 4 [Publisher:] Sciendo [Place:] Warsaw [Year:] 2018 [Pages:] 36-55
Publisher: 
Sciendo, Warsaw
Abstract: 
The paper presents a new approach to optimizing automatic transactional systems. We propose a multi-stage technique which enables us to find investment strategies beating the market. Additionally, new measures of combined risk and returns are applied in the process of optimization. Moreover, we define new elements of a risk control system based on volatility measures and consecutive signal confirmation. As a result, we formulate three complex investment systems which maximize returns and simultaneously minimize risk in comparison to all other alternative investments (IR=2, Maximum Drawdown<21%, Maximum Loss Duration=0.75 year). Our analysis is based on historical daily data (1998-2010, in- and out-of-sample period) for index and commodity futures. Afterwards, the systems are reoptimized and reallocated each half a year in order to include the most recent financial data. Finally, we show the results for a joint model consisting of our three systems.
Subjects: 
investment strategies
automatic trading systems
optimization
technical and fundamental analysis
market volatility
efficient risk and return measures
EMH
mutual and hedge funds
JEL: 
G14
G15
C61
C22
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by-nc-nd Logo
Document Type: 
Article

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