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Article

The Features of Building a Portfolio of Trading Strategies Using the SAS OPTMODEL Procedure

1
Department of Applied Informatics, Institute of Telecommunications and Global Information Space of the National Academy of Sciences of Ukraine, 03186 Kyiv, Ukraine
2
Institute for Applied System Analysis, National Technical University of Ukraine “Igor Sikorsky Kyiv Polytechnic Institute”, 03056 Kyiv, Ukraine
3
Department of Computer Systems and Networks, Faculty of Information Technologies, National University of Life and Environmental Sciences of Ukraine, 03041 Kyiv, Ukraine
4
Department of Computer Science, Information and Communication Technologies, Faculty of Physics, Mathematics and Informatics, Pavlo Tychyna Uman State Pedagogical University, 20301 Uman, Ukraine
*
Author to whom correspondence should be addressed.
Academic Editors: Demos T. Tsahalis and Ali Cemal Benim
Received: 26 April 2021 / Revised: 28 June 2021 / Accepted: 2 July 2021 / Published: 6 July 2021
(This article belongs to the Section Computational Engineering)
The article describes the original information technology of the algorithmic trading, designed to solve the problem of forming the optimal portfolio of trade strategies. The methodology of robust optimization, using the Ledoit–Wolf shrinkage method for obtaining stable estimates of the covariance matrix of algorithmic strategies, was used for the formation of a portfolio of trade strategies. The corresponding software was implemented by SAS OPTMODEL Procedure. The paper deals with a portfolio of trade strategies built for highly-profitable, but also highly risky financial tools—cryptocurrencies. Available bitcoin assets were divided into a corresponding proportion for each of the recommended portfolio strategies, and during the selected period (one calendar month) were used for this research. The portfolio of trade strategies is rebuilt at the end of the period (every month) based on the results of trade during the period, in accordance with the conditions of risk minimizing or income maximizing. Trading strategies work in parallel, being in a state of waiting for a relevant trading signal. Strategies can be changed by moving the parameters in accordance with the current state of the financial market, removed if ineffective, and replaced where necessary. The efficiency of using a robust decision-making method in the context of uncertainty regarding cryptocurrency trading was confirmed by the results of real trading for the Bitcoin/Dollar pair. Implementation of the offered information technology in electronic trading systems will allow risk reduction as a result of making incorrect decisions or delays in making decisions in a systemic trading. View Full-Text
Keywords: cryptocurrency; portfolio of strategies; trading strategy; algorithmic trading; robust portfolio cryptocurrency; portfolio of strategies; trading strategy; algorithmic trading; robust portfolio
MDPI and ACS Style

Terentiev, O.; Prosiankina-Zharova, T.; Savastiyanov, V.; Lakhno, V.; Kolmakova, V. The Features of Building a Portfolio of Trading Strategies Using the SAS OPTMODEL Procedure. Computation 2021, 9, 77. https://0-doi-org.brum.beds.ac.uk/10.3390/computation9070077

AMA Style

Terentiev O, Prosiankina-Zharova T, Savastiyanov V, Lakhno V, Kolmakova V. The Features of Building a Portfolio of Trading Strategies Using the SAS OPTMODEL Procedure. Computation. 2021; 9(7):77. https://0-doi-org.brum.beds.ac.uk/10.3390/computation9070077

Chicago/Turabian Style

Terentiev, Oleksandr, Tatyana Prosiankina-Zharova, Volodymyr Savastiyanov, Valerii Lakhno, and Vira Kolmakova. 2021. "The Features of Building a Portfolio of Trading Strategies Using the SAS OPTMODEL Procedure" Computation 9, no. 7: 77. https://0-doi-org.brum.beds.ac.uk/10.3390/computation9070077

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