Maximizing profitability and minimizing risk in financial assets portfolios has been commonly solved with Mean-Variance Analysis (MVA). Trading systems, unlike investments, cannot be organized into portfolios through MVA due to discontinuous returns. Through a novel method to discretize trade system data into time series, MVA was then applied to custom forex trading systems and the optimized portfolio reduced risk by approximately 10% in comparison to several baseline portfolio configurations. The method provides a crude but general solution to optimizing trading system portfolios.

• This report represents the work of one or more WPI undergraduate students submitted to the faculty as evidence of completion of a degree requirement. WPI routinely publishes these reports on its website without editorial or peer review.

Creator

• Tsivadze, Akaki

Subject

• Sustainability
• Security
• Industry
• Computing

Publisher

• Worcester Polytechnic Institute

Identifier

• E-project-102617-130519

Keyword

• Stock exchanges
• Risk management

Advisor

• Radzicki, Michael J.
• Hakim, Hossein

Year

• 2017

Date created

• 2017-10-26

Location

• Worcester

Resource type

• Interactive Qualifying Project

Rights statement

• In Copyright