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A design of automatic trading system by dynamic symbol using global variables

전역 변수를 이용한 유동 심볼 자동 주문 시스템의 설계

  • 고영훈 (협성대학교 컴퓨터공학과) ;
  • 김윤상 (한국기술교육대학교 컴퓨터공학부)
  • Received : 2010.07.12
  • Accepted : 2010.09.07
  • Published : 2010.09.30

Abstract

This paper designs the dynamic symbol automatic trading system in Korean option market. This system is based on Multichart program which is convenient and efficient system trading tool. But the Multichart has an important restriction which has only one constant symbol per chart. This restriction causes very useful strategies impossible. The proposed design uses global variables, signal chart selection and position order exchange. So an automatic trading system with dynamic symbol works on Multichart program. To verify the proposed system, BS(Buythensell)-SB(Sellthenbuy) strategies are tested which uses the change of open-interest of stock index futures within a day. These strategies buy both call and put option in ATM at start candle and liquidate all at 12 o'clock and then sell both call and put option in ATM at 12 o'clock and also liquidate all at 14:40. From 23 March 2009 to 31 May 2010, 301-trading days, is adopted for experiment. As a result, the average daily profit rate of this simple strategies riches 1.09%. This profit rate is up to eight times of commision price which is 0.15 % per option trade. If the method which raises the profitable rate of wining trade or lower commission than 0.15% is found, these strategies make fascinated lossless trading system which is based on the proposed dynamic symbol automatic trading system.

Keywords

References

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