{"id":2732,"date":"2019-01-11T16:42:33","date_gmt":"2019-01-11T15:42:33","guid":{"rendered":"https:\/\/www.krize-cr.cz\/test\/?p=2732"},"modified":"2019-02-11T15:43:07","modified_gmt":"2019-02-11T14:43:07","slug":"commodity-trading-strategies","status":"publish","type":"post","link":"https:\/\/www.krize-cr.cz\/test\/commodity-trading-strategies\/","title":{"rendered":"[:cs]Strategie pro obchodov\u00e1n\u00ed komodit[:en]Commodity Trading Strategies[:]"},"content":{"rendered":"

[:cs]Research & Development team se aktu\u00e1ln\u011b zam\u011b\u0159uje na v\u00fdvoj obchodn\u00edch strategi\u00ed zam\u011b\u0159en\u00fdch na futures kontrakty pro ropu, zemn\u00ed plyn a zlato. Tyto komodity se obchoduj\u00ed na centralizovan\u00fdch americk\u00fdch burz\u00e1ch NYMEX a COMEX a pat\u0159\u00ed mezi nejv\u00edce likvidn\u00ed, p\u0159i\u010dem\u017e se denn\u011b realizuj\u00ed transakce za miliardy dolar\u016f. <\/span>Vysok\u00e1 likvidita a z\u00e1jem ostatn\u00edch obchodn\u00edch subjekt\u016f vytv\u00e1\u0159\u00ed vhodn\u00e9 prost\u0159ed\u00ed pro implementaci kr\u00e1tkodob\u00fdch momentov\u00fdch strategi\u00ed vyu\u017e\u00edvaj\u00edc\u00edch neefektivity tr\u017en\u00edho prost\u0159ed\u00ed.<\/b> Vzhledem k povaze t\u011bchto komodit jak z hlediska pot\u0159ebn\u00e9 volatility, tak i z hlediska struktury samotn\u00e9ho finan\u010dn\u00edho instrumentu, kter\u00fd je deriv\u00e1tem vyu\u017e\u00edvaj\u00edc\u00edm finan\u010dn\u00ed p\u00e1ku, je vhodn\u00e9 za\u0159azen\u00ed t\u011bchto komodit do v\u00fdzkumn\u00e9ho portfolia.<\/span><\/p>\n

R&D team vyv\u00edj\u00ed a optimalizuje obchodn\u00ed strategie vych\u00e1zej\u00edc\u00ed z rule-based konceptu, kter\u00e9 vykazuj\u00ed pozitivn\u00ed performance a s ur\u010ditou pravd\u011bpodobnost\u00ed dok\u00e1\u017e\u00ed p\u0159edpov\u011bd\u011bt vznik nov\u00e9ho kr\u00e1tkodob\u00e9ho cenov\u00e9ho momenta. <\/b><\/p>\n

Implementac\u00ed modern\u00edch technologi\u00ed pro anal\u00fdzu performance strategi\u00ed a souvisej\u00edc\u00edch rizik je prov\u00e1d\u011bn exaktn\u00ed a p\u0159esn\u00fd v\u00fdzkum, kter\u00fd dok\u00e1\u017ee rigor\u00f3zn\u011b otestovat danou strategii. Oproti \u201czastaral\u00fdm\u201d technologi\u00edm dok\u00e1\u017e\u00ed ty modern\u00ed implementovat re\u00e1lnou exekuci obchodn\u00edch p\u0159\u00edkaz\u016f zalo\u017een\u00fdch na skute\u010dn\u011b realizovan\u00fdch obchodech. V\u00fdzkumn\u00edk tak dost\u00e1v\u00e1 v\u00fdsledky performance strategie t\u00e9m\u011b\u0159 toto\u017en\u00e9 s re\u00e1lnou exekuc\u00ed obchodn\u00ed strategie. Pr\u00e1v\u011b <\/span>p\u0159i aplikaci zastaral\u00fdch technologi\u00ed, kter\u00e9 neprov\u00e1d\u011bly simulaci re\u00e1ln\u00e9ho tr\u017en\u00edho prost\u0159ed\u00ed, doch\u00e1zelo \u010dasto k v\u00fdrazn\u011b odli\u0161n\u00fdm v\u00fdsledk\u016fm navr\u017een\u00e9 a optimalizovan\u00e9 strategie v\u016f\u010di re\u00e1ln\u00e9 aplikaci. <\/b><\/p>\n

V\u00fdvoj a optimalizace strategi\u00ed pomoc\u00ed modern\u00edch technologi\u00ed je jeden z nosn\u00fdch pil\u00ed\u0159\u016f cel\u00e9ho projektu.<\/span><\/p>\n

Po dokon\u010den\u00ed v\u00fdvoje budou strategie pro obchodov\u00e1n\u00ed ropy, zemn\u00edho plynu a zlata za\u0159azeny do portfolia, kter\u00e9 bude \u0159\u00edzeno obchodn\u00edm konceptem metastrategie zalo\u017een\u00e9 na chytr\u00e9 alokaci prost\u0159edk\u016f do jednotliv\u00fdch strategi\u00ed.<\/span><\/p>\n

My\u0161lenkov\u00e9 workflow:<\/h3>\n
    \n
  • pracovali jsme s futures contract pro ropu a zlato<\/span><\/li>\n
  • vyu\u017e\u00edvali jsem n\u00e1stroje Zipline, Pyfolio, Pandas, MetaTrader, NumPy<\/span><\/li>\n
  • \u0159e\u0161ili jsem momentov\u00e9 strategie zam\u011b\u0159en\u00e9 na kr\u00e1tkodobou spekulaci<\/span><\/li>\n
  • inovac\u00ed v\u016f\u010di st\u00e1vaj\u00edc\u00edm strategi\u00edm je vyu\u017eit\u00ed modern\u00edch analytick\u00fdch n\u00e1stroj\u016f pro anal\u00fdzu a minimalizaci rizika (Pyfolio)<\/b><\/li>\n
  • tento v\u00fdzkum c\u00edl\u00ed na brzk\u00e9 nasazen\u00ed strategi\u00ed v re\u00e1ln\u00e9m tr\u017en\u00edm prost\u0159ed\u00ed a n\u00e1sledn\u011b bude navazovat optimalizace pomoc\u00ed genetick\u00fdch algoritm\u016f zam\u011b\u0159en\u00e1 na metastrategie. Tato strategie bude jednou z \u010d\u00e1sti po\u010detn\u00e9ho portfolia \u0159\u00edzen\u00e9ho metastrategi\u00ed<\/b><\/li>\n<\/ul>\n

    Jan Bud\u00edk<\/span>[:en]Research & Development team is currently focused on development of trading strategies applied to Crude Oil WTI, Natural Gas and Gold (futures contracts). These commodities are traded on centralized exchanges NYMEX and COMEX which are located in USA and each day trading activity exceeds billions of dollars.\u00a0Very high liquidity and interest of other market subjects create a suitable environment for short-term momentum trading strategies.\u00a0<\/b>It is appropriate to include these in the research portfolio due to the necessary volatility and the structure of the financial\u00a0leveraged<\/b>\u00a0instrument itself.<\/p>\n

    R&D team develops and optimizes trading strategies on rule-based concepts that has positive performance and can predict upcoming short-term price momentum with sufficient probability.<\/b><\/p>\n

    Implementation of new technologies can help R&D rigorously analyze the performance of trading strategies and related risks with highest exact level. Against the \u201cold\u201d technologies, the modern ones can implement real-time execution of trading orders based on all realized trades in the selected time period.\u00a0Application of old technologies for trading strategy performance analysis often lead to unreliable statistical results and trading strategy with great historical performance often fail in the real market.<\/b><\/p>\n

    Development and optimization with modern technologies is the one of the main goals of the project. When trading strategies for Crude Oil WTI, Natural Gas and Gold are done they will be included in metastrategy-driven portfolio with smart asset allocation.<\/p>\n

    Mind-flow:<\/b><\/p>\n

      \n
    • Crude Oil WTI, Natural Gas, Gold futures contracts<\/li>\n
    • Implementation using \u00a0modern frameworks and libraries: Zipline, Pyfolio, Pandas, MetaTrader, NumPy<\/li>\n
    • Short-term price momentum trading strategies development<\/li>\n
    • Our innovation against existing trading strategies is based on implementation of modern frameworks and analytical tools<\/b><\/li>\n
    • Our research aims to implement proposed trading strategies to the real market in a short period. All strategies will be included in a metastrategy-driven portfolio<\/b><\/li>\n<\/ul>\n

       <\/p>\n

      Jan Bud\u00edk[:]<\/p>\n","protected":false},"excerpt":{"rendered":"

      [:cs]P\u0159edpov\u011b\u010f vzniku nov\u00e9ho kr\u00e1tkodob\u00e9ho cenov\u00e9ho momenta.[:en]Prediction of upcoming short-term price momentum with sufficient probability.[:]<\/p>\n","protected":false},"author":4,"featured_media":3045,"comment_status":"closed","ping_status":"closed","sticky":false,"template":"","format":"standard","meta":[],"categories":[104,51,106,70],"tags":[100],"_links":{"self":[{"href":"https:\/\/www.krize-cr.cz\/test\/wp-json\/wp\/v2\/posts\/2732"}],"collection":[{"href":"https:\/\/www.krize-cr.cz\/test\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/www.krize-cr.cz\/test\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/www.krize-cr.cz\/test\/wp-json\/wp\/v2\/users\/4"}],"replies":[{"embeddable":true,"href":"https:\/\/www.krize-cr.cz\/test\/wp-json\/wp\/v2\/comments?post=2732"}],"version-history":[{"count":4,"href":"https:\/\/www.krize-cr.cz\/test\/wp-json\/wp\/v2\/posts\/2732\/revisions"}],"predecessor-version":[{"id":3055,"href":"https:\/\/www.krize-cr.cz\/test\/wp-json\/wp\/v2\/posts\/2732\/revisions\/3055"}],"wp:featuredmedia":[{"embeddable":true,"href":"https:\/\/www.krize-cr.cz\/test\/wp-json\/wp\/v2\/media\/3045"}],"wp:attachment":[{"href":"https:\/\/www.krize-cr.cz\/test\/wp-json\/wp\/v2\/media?parent=2732"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/www.krize-cr.cz\/test\/wp-json\/wp\/v2\/categories?post=2732"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/www.krize-cr.cz\/test\/wp-json\/wp\/v2\/tags?post=2732"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}