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

Marcin Hernes, Jerzy Korczak
<span title="2018-09-26">2018</span> <i title="IEEE"> <a target="_blank" rel="noopener" href="" style="color: black;">Proceedings of the 2018 Federated Conference on Computer Science and Information Systems</a> </i> &nbsp;
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
more &raquo; ... 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.
<span class="external-identifiers"> <a target="_blank" rel="external noopener noreferrer" href="">doi:10.15439/2018f170</a> <a target="_blank" rel="external noopener" href="">dblp:conf/fedcsis/HernesK18</a> <a target="_blank" rel="external noopener" href="">fatcat:ndibfrufnnarnbobbdqdzlgkb4</a> </span>
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