• ISSN: 2010-023X (Print)
    • Abbreviated Title: Int. J. Trade, Economics and Financ.
    • Frequency: Quaterly
    • DOI: 10.18178/IJTEF
    • Editor-in-Chief: Prof.Tung-Zong (Donald) Chang
    • Managing Editor: Ms. Shira. W. Lu
    • Abstracting/ Indexing:  Crossref, Electronic Journals Library , EBSCO
    • E-mail: ijtef.editorial.office@gmail.com
HOME > Archive > 2018 > Volume 9 Number 4 (Aug. 2018) >
IJTEF 2018 Vol.9(4): 170-173 ISSN: 2010-023X
DOI: 10.18178/ijtef.2018.9.4.609

Performance Comparison of Three Automated Trading Systems (MACD, PIVOT and SMA) by Means of the d-Backtest PS Implementation

D. Th. Vezeris and C. J. Schinas

Abstract—State-of-the-art trading systems are automated and are executed on computers through trading platforms. They generate and execute trades, based on optimized parameters and algorithmic trading strategies. In the current research, such software for automated trading systems was developed, utilizing the following technical indicators, the MACD (oscillator), the SMA (moving average) and the PIVOT points (price crossover).The systems traded on hourly timeframes, using historical data of closing prices over weekly based periods of parameters' optimization and using the d- Backtest PS method. Through this research, and the interpretation and evaluation of results, two findings or rather conclusions were drawn. These findings are presented sequentially as follows: In terms of profitability, the adaptive MACD trading system was the most effective one, followed by PIVOT trading system and the SMA was ranked as the least profitable trading system. There is a weak correlation of back testing periods among the above trading systems.

Index Terms—d-Backtest PS method, MACD, PIVOT, SMA, FOREX trading systems.

The authors are with the Democritus University of Thrace, Xanthi, 67131 Greece (e-mail: d.vezeris@ioniki.net, cschinas@ee.duth.gr).

[PDF]

Cite: D. Th. Vezeris and C. J. Schinas, "Performance Comparison of Three Automated Trading Systems (MACD, PIVOT and SMA) by Means of the d-Backtest PS Implementation," International Journal of Trade, Economics and Finance vol.9, no.4, pp. 170-173, 2018.

PREVIOUS PAPER
Rethinking Modes of Market Definition for multi-Sided Platforms
NEXT PAPER
Factors Affects Tourism on Society and Culture Tourism Success in Suphan Buri Province

Copyright © 2008-2024. International Journal of Trade, Economics and Finance. All rights reserved.
E-mail: ijtef.editorial.office@gmail.com