Development of Capital Management System in Trading by Several Strategies on Investment Portfolio

Student: Efimov Dmitriy

Educational Programme: Economics (Bachelor)

Year of Graduation: 2017

The problem of money management in algorithmic trading in the scientific literature is given insufficient attention. Existing studies in this area are divided into two categories - some of them study capital management systems in the trade of several trading strategies on one security, the other - the money management systems for trading several stocks simultaneously. Despite the fact that these two directions are not mutually exclusive, there are no models that use a multitude of strategies on a multitude of instruments at the same time. In this paper, the advanced ideas of the two directions are combined into such a single system and tested on the Russian stock market.

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