Student Work

A Novel Method of Applying Mean-Variance Analysis to Forex Trading Systems to Reduce Risk

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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.
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Subject
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Identifier
  • E-project-102617-130519
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Year
  • 2017
Date created
  • 2017-10-26
Ubicación
  • Worcester
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Permanent link to this page: https://digital.wpi.edu/show/m039k511n