Model, which - as I recall here - concerns the settlement occupied a single position on a currency pair, is formulated in the form of conditional expressions. Conditions apply to being exceeded or not exceeded the limits of the appropriate exchange rate. The limits are determined by the parameter, which is the distance from the opening price on the time interval.

As
usual, the letters indicate the corresponding OHLC quotes, plus
superscripts determine whether it is a purchase or sale price. This
is actually a sufficient description for understanding the equation.
And here it is:

The
equations defining the position at the end of each interval, as well
as gains and losses arising from operations carried out by the
investor, applying a particular strategy, allow for a quantitative
assessment of the effectiveness of these strategies. Of course, the
essence of the problem lies in the selection of parameters, which can
be done by simulation. The first ideas for such simulations, which
lead to transactional systems with a hierarchical structure, I intend
to present soon.

## No comments:

## Post a Comment