Návrh a řízení obchodní strategie na měnovém trhu

Abstract

This bachelor’s thesis focuses on the issue of management in currency trading. The aim is to design, implement, and empirically analyze trading strategies based on technical analysis, specifically on the crossover of exponential moving averages, and to assess the impact of different position management approaches and entry signal filtering on the achieved results. Two variants of position management are tested: a simple approach and a more advanced method involving partial position closing and loss limitation. Furthermore, the effect of adding a filter using the Relative Strength Index (RSI) oscillator on the frequency and quality of trading signals is examined. All strategies are backtested on historical hourly data for the EUR/USD and USD/CAD currency pairs for the period 2009–2017, with implementation and evaluation carried out in the Python programming language. The results show that the best performance is achieved by the exponential moving average crossover strategy combined with gradual position closing on the EUR/USD pair, while the addition of the RSI filter leads to a significant reduction in the number of trades and, in some cases, a decrease in overall profitability. The thesis also discusses the impact of transaction costs, parameter settings, and the limitations of the chosen approach. In conclusion, it is stated that effective position management and systematic strategy testing are key factors for success in forex trading, since there is no universally profitable strategy and results must always be verified on specific data and instruments.