Journal of Korea Society of Digital Industry and Information Management (디지털산업정보학회논문지)

Korea Society of Digital Industry and Information Management (디지털산업정보학회)
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An analysis of Performance on the strategy of ladder trades in a symbol pool by Multicharts

멀티차트를 사용한 종목군 계단식 매매 전략에 대한 성능 분석

  • 고영훈 (협성대학교 컴퓨터공학과) ;
  • 김윤상 (한국기술교육대학교 컴퓨터공학부)
  • Received : 2010.02.23
  • Accepted : 2010.04.21
  • Published : 2010.06.30
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Abstract

This paper proposes the strategy of ladder trades in a symbol pool and simulates a performance of it on the Multicharts' system trading tool. The ladder trading strategy is based on a multi-entry strategy which is efficient for several symbols. A symbol pool is composed of verified stocks comprising KOSPI200 and 17 symbols are selected for an examination which equity is over 10 billion. From July to December in 2009, optimum parameters are searched and the results are delta is 4% and ladder is 5. When those parameters are adopted, the profit is 1,000,000 won as a single trade and the number of trade is 188. The next study is to modify a ladder shape for increasing probability and to find the difference of optimum parameters according to trading months.

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References

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