دانلود رایگان مقاله انگلیسی ایجاد اوراق بهادار ارز با استفاده از استراتژی سرمایه گذاری بهینه شده - نشریه الزویر

abstract

This work focuses on the development of a technical breakout trading strategy based on the Donchian Channel approach, aiming to the construction of profitable portfolios. In this direction, the Modified Renko Bars (MRBs) were developed first; that proved to be a useful trading tool that responses more accurately than the normal candle sticks to the nature and characteristics of the FOREX market. Subsequently, the parameters of the trading strategy (or system) are calibrated for eight currency pairs, over a period of four years (2006–2009), by comparing the performance of three global search derivative-free optimization algorithms. Then, the returns of the developed system are tested for the next seven years (2010–2016) for each pair and two types of portfolios are constructed; an equal weighted one and a portfolio based on the Kelly criterion. The ultimate objective of this paper is to create currency portfolios based on a novel optimized trading strategy, which could beat constantly the main investors’ benchmarks (i.e. S&P500, Barclay CTA Index).

6. Conclusion

The major achievement of this study was the construction of a portfolio having steadily profitable performance. In order to achieve this target, a friendlier and more adaptable to market conditions trading tool was developed first. In particular, the Modified Renko Bars (MRBs) were proposed in this study that comply much better with the market’s movement and represent more accurately its true directions than the simple or the common renko bars. Thus, based on MRB charts a Channel breakout strategy was implemented. Subsequently, it was proved that in order to formulate a profitable strategy an optimization phase is necessary to be performed first. The optimization phase, which was carried out over a 4-year period, helped us to calibrate the parameters of the trading strategy for eight currency pairs. For the requirements of the optimization phase, three derivative-free algorithms were employed aiming to identify the parameters that achieve the highest total return for each currency pair; the parameters that develop the highest result among the three algorithms were chosen to be used in the testing and portfolios construction phases.

Afterwards, the optimized parameters obtained for each pair were tested over a 7-year period. The results obtained, especially, for five out of the eight currency pairs were found to be impressive. Specifically, when a threshold value of 200% average total return for the three optimization algorithms was set for each currency pair, it was observed that five out of the eight currency pairs resulted into average total return greater than the 200% threshold value. This observation indicates that this kind of strategy will not fit smoothly to the three pairs that failed to achieve 200% average total return. Subsequently, two couples of portfolios were constructed using equally weighted proportions and based on the Kelly criterion. The first group was constructed using the eight currency pairs (the two portfolios of the group were denoted as EWP1 and KCP1) and the second one using the five best pairs (distinguished according to the 200% threshold value principle, and the two portfolios of the group were denoted as EWP2 and KCP2).