COMPARISON OF SYSTEMS OF FORECASTING THE DIRECTION OF CHANGES IN THE EXCHANGE RATE OF A FINANCIAL INSTRUMENT USING SIMPLE AND EXPONENTIAL MOVING AVERAGES
DOI:
https://doi.org/10.31732/2663-2209-2022-70-61-75Keywords:
trading system, technical analysis indicator, moving average, simple average, exponential average, currency pair, exchange operationAbstract
The range of actual research points to the fact that some technical analysis indicators have predictive power, and therefore trading strategies based on them have some applied value. This work examines some topical issues of the development and use of a trader's trading system, which relies on signals generated by indicators of technical analysis, particularly exponential and simple moving averages, in deciding to execute a stock transaction. The works of modern researchers, which describe approaches to using these indicators, are analyzed. In this context, the purpose of the study is to analyze the impact of exponential moving average settings and their combinations on the profitability of the trading system, as well as to compare the results of such a system with the results of a strategy built on simple moving averages and a combination of simple and exponential moving averages. Based on this, tasks that are solved using slides of this kind were formed. The technique of selecting technical indicators and their settings when creating a trader's trading system is proposed. Several variants of the formation and interpretation of the signal regarding the subsequent change in the rate of the financial asset generated by such a system are considered. The article also discusses the criteria for comparing strategies at the testing stage. The results of using different techniques were calculated and compared, and the optimal ones were determined according to the selected selection criteria. Trading simulations were performed for the EUR/USD currency pair, using weekly quotes from 1999 to 2023, based on which the optimal combination of sliders for use in the trading system was determined. It was noted that the strategy, based on exponential moving averages, needs additional optimization. Options for possible optimization and the corresponding tools that can be used are indicated. Based on the research results, it was concluded that the proposed approach to developing a trader's trading system could be used to perform actual exchange operations.
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