Efficiency Analysis of Algorithmic Trading on Example of Currency Pair USD/RUB

In this paper, we consider the methodology for developing and evaluating algorithmic trading strategies using the example of the dollar / ruble currency pair. The main trends in algorithmic trading over the past decade, as well as the main strategies used by market participants, are highlighted. The relevance of this work is due to the rapidly growing interest of various market participants and the academic environment in the tools of automated trading. Over the past decade, there has been a significant increase in the share of trade robots in the total trading volume in financial markets. The novelty of this research is due to the fact that a detailed methodology is being developed for creating algorithmic strategies through optimization, in practice some possible problems of algorithm optimization are considered and an efficiency estimation methodology is proposed on the basis of predictive indicators of the potential effectiveness of the algorithmic trading strategy. In the practical part of the work, a strategy based on technical analysis was built. The whole process of optimizing the strategy for the test period was also graphically described and the main indicators for evaluating the viability of the algorithmic trading strategy were proposed. Then the strategy was tested on an outside optimization sample, which showed a yield of 9.44% over the four-month period. This yield is comparable to the yield of some mutual funds for the same period. It should be noted that algorithmic strategies need continuous testing, optimization and valuation, as market conditions are constantly changing. Based on the results of the work, a methodology for testing trading strategies is also proposed, which can be used in practical activities when creating its own trading strategies, which was demonstrated in detail in the example of the indicator strategy of trading in the dollar / ruble currency pair.