RELIABLE SIGNALS AND LIMIT CONDITIONS FOR AUTOMATED TRADING SYSTEMS

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By: CRISTIAN PÄ‚UNA
JEL: M15, G23, M21, O16
Keywords: financial markets (FM), trading signals (TS), limit conditions (LC), algorithmic trading (AT), automated trading software (ATS)

Automated trading software is a significant part of the business intelligence system in a modern investment company today. The buy and sell orders are built and sent almost instantly by computers using special trading and computational strategies. The trading decisions are made by automated algorithms. In this paper it will be presented one of these mathematical models which generate trading signals based only on the time price series. The algorithm combines several known computing techniques to build a trading indicator to automate the trades. With this method, buy decisions on oversold intervals and sell decisions on overbought price values can be built. Limit conditions in order to close the long and short trades can be also automatically generated. More trading signal types based on this model will be revealed. Trading results obtained with all these signals will be presented in order to qualify this methodology developed especially for algorithmic trading.