Performance evaluation of trading strategies in multi-agent systems – Case of A-Trader

Jerzy Korczak , Marcin Hernes

Abstract

Abstract—The article presents the problem related to evaluation of Forex trading strategies in multi-agent systems. The ratios based on financial measures cannot be assumed to be only evaluation criteria because other aspects determining effectiveness of the strategies, such as, for instance, investment risk, statistics on winning, and lost transactions, transaction costs, should also be taken into consideration. The aim of this paper is to review the general financial investments performance measures in relation to the performance analysis of trading strategies. The characteristics of the commonly used performance measures are outlined. The discussion will be illustrated by solutions developed in the trading support system, called A-Trader system. The performance analysis in A-Trader is detailed on real FOREX quotations
Author Jerzy Korczak (MISaF / IBI / DIT) - [inna]
Jerzy Korczak,,
- Department of Information Technologies
- inna
, Marcin Hernes (EaE / IES / DACIaQM)
Marcin Hernes,,
- Department of Accounting, Control, Informatics and Quantitative Methods
Pages839-844
Publication size in sheets0.5
Book Ganzha Maria, Maciaszek Leszek, Paprzycki Marcin (eds.): Proceedings of the 2018 Federated Conference on Computer Science and Information Systems, Annals of Computer Science and Information Systems, vol. 15, 2018, Polskie Towarzystwo Informatyczne, ISBN 9788394941956, [9788394941963, 9788394941970], 1089 p., DOI:10.15439/978-83-949419-5-6
DOIDOI:10.15439/2018F170
Languageen angielski
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Korczak_Hernes_Performance_ evaluation_ of_ trading_ strategies2018.pdf 446,34 KB
Score (nominal)15
Score sourceconferenceIndex
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