Parameterized Trade on the Futures Market on the WIG20

Piekunko-Mantiuk Iwona ()
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Piekunko-Mantiuk Iwona: Białystok University of Technology, Faculty of Engineering Management, Ojca Tarasiuka # 2 Street, 16-001Kleosin, Poland

Folia Oeconomica Stetinensia, 2019, vol. 19, issue 1, 114-125

Abstract: Research background: Market participants have been trying to forecast future price movements and create tools to facilitate making the right investment decisions since the beginning of the operation of stock exchanges. As a result, there are an increasing number of methods, tools, strategies and models to make the decision process which is becoming extremely complicated.Purpose: to maximize the simplification of trade rules and to check whether it is possible to parameterize transactions based on the length of price movements in order that the system built in this way would generate profits.Research methodology: empirical research was conducted on data from the period between 20/01/1998 and 29/06/2018 covering listing futures contracts for the WIG20. First, the length of the price movements was determined according to the closing rate, then the frequency of individual lengths of the price movements was determined so transaction parameters were fixed. Next, the parameters were optimized and the rates of return from the tested options were examined.Result: It is possible to parameterize transactions based on the length of price movements and to create a simple investment strategy which generates profits. In the audited period, the optimal length of traffic was 25 points with a simultaneous use of a profit/loss ratio of 1 : 1, 1 : 2 or 1 : 3.Novelty: an original investment strategy based on the parameterization of transactions that is based on length of price movement and profit/loss ratio.

Keywords: parameterized trade; futures contract; futures on WIG20; futures contract market (search for similar items in EconPapers)
JEL-codes: G11 G14 G17 (search for similar items in EconPapers)
Date: 2019
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Persistent link: https://EconPapers.repec.org/RePEc:vrs:foeste:v:19:y:2019:i:1:p:114-125:n:8

DOI: 10.2478/foli-2019-0008

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