Development of a Prototype of an Automated Analysis and Trading System on a Stock Exchange

Automated trading systems on stock exchanges have become very popular in the last decade, since they allow you to eliminate many of the problems of manual trading. The goal of this study was to develop a prototype of such a system capable to conduct automated trading on the Moscow Stock Exchange. First, to achieve this goal, it is necessary to analyze the architecture of automated trading systems and make a choice of a structure of the prototype being developed. Further, the necessary for implementation and testing tools were selected and an analysis of trade indicators used in trade strategies was made. As a result, a trading strategy, based on simple moving averages and Parabolic SAR indicators was developed and implemented in TSLab system. During the second stage of the work, the special techniques for strategy testing and parameters’ optimization were developed and then key performance indicators necessary for optimization were chosen. During the process of optimization, the batch of backtests was performed having different values of strategy parameters in each stage and selected performance indicators of the strategy were obtained. Then, a number of histograms and heat maps were built in Matlab system and clusters helped to find the configuration of parameters bringing the largest profit. Finally, having the found values of the parameters, the system was backtested with the portfolio of securities composing the MICEX index. Its greater profitability in comparison with the usual investment in the index proves the efficiency of the developed system. As a result, a working prototype of the system, which brings a positive profit and can be successfully applied for trading on the Moscow stock exchange, was developed and implemented. Also, there were outlined the ways for further improvements of the system, including modification the strategy, development a risk management module and optimization the parameters separately for each paper being traded.