Impact of Risk Management Features on Performance of Automated Trading System in GRAINS Futures Segment

摘要

Automated trading requires protection against loss in the same manner as manual trading does. Automated trading systems (ATS) have to be acceptable, easy to implement and transparent from the user's perspective. From the perspective of a small speculator, this paper is focused on testing ATS's performance while applying selected exit techniques - maximum loss, profit target, trailing stop and their combination. To allow comparison, performance of ATS without application of any exit strategy will be presented as well. The testing will be conducted using simplified trading system on commodities of GRAINS segment (corn, wheat, oats), using real commodity data. Tests will be conducted on optimized version of simplified trading system, using Stochastics technical analysis indicator.