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Evaluating the Performance of Quantitative Trading Strategies in the Gold Coin futures Maket of Iran Merchantile Exchange

Saleh, Armin | 2011

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  1. Type of Document: M.Sc. Thesis
  2. Language: Farsi
  3. Document No: 43165 (44)
  4. University: Sharif University of Technology
  5. Department: Management and Economics
  6. Advisor(s): Bahramgiri, Mohsen
  7. Abstract:
  8. Along with the development of electronic exchanges, accessibility to various data streams, increasing computing power, decreasing trading costs, and growing competition in financial investment industry, quantitative trading strategies or quantitative trading rules have developed rapidly in the recent decades. These strategies try to forecast the future price movements of risky assets from the historical market information in algorithmic ways or statistical ways and thus challenge the Efficient Market Hypothesis.
    The increasing attention to these strategies and lack of related empirical studies in the financial markets of Iran, motivate the research in this area. Furthermore, despite its freshness, gold coin futures market in the Iran Mercantile Exchange (IME) has become one of the most appealing markets for the investors, thanks to its exclusive characteristics such as financial leverage and short position. As a result, this research investigates the performances of these trading strategies in the gold coin futures market empirically.
    In this research, I introduce various quantitative trading strategies and study their performances using the back-test method, considering several parameters in different trading periods and utilizing the historical information of the gold coin futures market. Thus, beside investigating the performances of these trading strategies and presenting superior strategies in different trading periods, we could challenge the Efficient Market Hypothesis by finding a strategy that beats the market.
    The result of this research represents the success of some of these trading strategies and the failure of some others. Finally, in addition to presenting the result of this empirical study, we try to find the sources of success and failure of these strategies in a cognitive way
  9. Keywords:
  10. Backtesting ; Quantitative Trading Strategies ; Efficient Market Hypothesis ; Gold Coin Futures Market

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