EVALUATION OF TRADING MODELS ON FOREIGN EXCHANGE MARKET
EVALUATION OF TRADING MODELS ON FOREIGN EXCHANGE MARKET

Summary/Abstract: A trading strategy that applies in Foreign Exchange Market (Forex) represents a set of instructions which perform opening or closing the trading positions. The set of instructions is a numerical model of trading process. Both in the general case of applied numerical models and in the modeling of trading processes in Forex there is large errors of the parameters. However, these models are presented by continuous dependencies. To dealing with this problem in practice applies sensitivity analysis as local measure of the effect of a given input on a given output. The estimation is made by computing the sensitivity coefficients as partial derivatives at the input parameters. In this paper we evaluate the uncertainty in trading models when the calculations of model parameters are made. The main concept is based on the opposition of the principle characteristics in the modeling of processes in technics and in Forex. An example is made when the volatility is predicted by calculation with the formula of exponential moving average (EMA).

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