Construction of the Portfolio of Trading Rules Based on the Markowitz Theory

Student: Chueva Dayana

Supervisor: Mikhail Kamrotov

Faculty: Faculty of World Economy and International Affairs

Educational Programme: World Economy (Bachelor)

Year of Graduation: 2019

This paper is devoted to attempts to improve the results of trading in the foreign exchange market using trading strategies based on technical analysis. For the combination of rules, the Markowitz portfolio theory was used, on the basis of which the most efficient portfolio of robots, according to the Sharpe ratio, was developed. This model allows to get a higher return compared to the equally weighted portfolio. However, the efficiency of the strategies used cannot be guaranteed, as the market is constantly undergoing changes, taking this into account trading rules should be kept updated. Thus, it is necessary to adjust robots to the state of the world.

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