Metode matematice de tranzactionare pe piata forexAutor Clugru DorinAnul de studii IIFacultatea Cibernetic, Statistic i Informatic EconomicSpecialitatea Statistica i Previziune EconomicaCoordonator tiinific Prachi Ion

Metodele de tranzacionare matematice ofer o viziune obiectiv asupra evoluiei preurilor. Acestea v ajut s v construii o imagine cu privire la direcia evoluiei preurilor i la sincronizarea acestor fluctuaii (timing), contribuie la reducerea fricii i la evitarea supra-tranzacionrilor. Mai mult, aceste metode tind s ofere semnale n privina micrilor de pre nainte ca acestea s se produc pe pia.Instrumentele folosite de metodele de tranzacionare matematice sunt mediile mobile i oscilatorii. (Oscilatorii sunt instrumente de tranzacionare care ofer indicaii n privina momentului cnd o moned este supracumprat sau supravndut). Dei exist nenumrai indicatori matematici, cum ar fi: Media mobil simpl i exponenial (SMA - EMA) Convergena-divergena mediei mobile (MACD) Benzile Bollinger Sistemul de parabolice, Stop-i-Revers (SAR) Indexul Forei Relative - Relative Strenght Index (RSI)Ma voi axa pe cel mai bun indicator de moment si anume Indexul forei relative(RSI)

RSI a fost creat de catre J. Welles Wilder drept sistem care transmite semnale reale de cumprare (buy) i de vnzare (sell) pe o pia n continu schimbare. RSI oscileaz ntre zero i 100. Deobicei, la fel conform lui Wilder, RSI se considera supraevaluat (overbought) cind este mai mare ca 70 i subapreciat (oversold) cind este mai mic de 30. Semnalele pot fi observate din divergente, sau intersectari cu linia centrala, egala cu 50. RSI la fel poate fi folosit pentru a indentifica trendul general.RSI este un indicator de moment foarte popularmentionat in o multime de articole, interviuri si carti pina in preyent. In particular, in cartea Technical Analysis for the Trading Professional (Analiza tehnica pentru traderi profesionali) de Constance Brown, mentioneaza conceptul limitei RSI pentru o piata Bull sau Bear. Wilder mentioneaza RSI in 1978 in cartea,New Concepts in Technical Trading Systems. Aceasta carte include de asemenea si Sistemul Parabolic SAR, Limita medie reala(Average True Range) si Conceptul miscarii directionate Directional Movement Concept (ADX) . Necatind la faptul ca a fost elaborat pina la era computerelor, indicatorii lui Wilder au supravietuit in timp si au ramas extrem de populari.Calculare:

Unde RS-forta relativa se calculeaza dupa formula:

Pentru a simplifica calcularea, RSI a fost diviyat in componentele acestuia de baza:RS,Media Cresterii si Media Scaderii . Aceasta metoda de calculare a RSI se bazeaz pe 14 perioade, care este minimum necesar de observatii sugerat deWilder in cartea sa. Iar Scaderile sunt interpretate in valori positive nu negative.

Primul calcul a cresterii medii si scaderii medii se bazeaza pe 14 perioade.

Al doilea calcul, precum si urmatoarele,sunt bazate pe media anterioara si cresterea sau scaderea curenta:

Asa arata reprezentarea calculelor in excel pentru perechea valutara EUR/USD:

conferintaTime,Open,High,Low,Close,Volumedataopenhighlowclosechangeavg gainavg lossRSRSIdatacloseEvolutia preturilorcresteriscaderiMedia cresteriimedia scaderii01,03,2015 02:00:00,000,1,11809,1,11829,1,11601,1,11728,10121269775,390701,03,20151.118091.118291.116011.1172801,03,20151.117280002,03,2015 02:00:00,000,1,11727,1,12405,1,11662,1,11935,127284911132,812802,03,20151.117271.124051.116621.119350.002070.0020702,03,20151.119350.002070.00207003,03,2015 02:00:00,000,1,11934,1,12175,1,11546,1,11789,144069820190,429903,03,20151.119341.121751.115461.11789-0.001460.0014603,03,20151.11789-0.0014600.0014604,03,2015 02:00:00,000,1,11786,1,11803,1,10616,1,10712,155256718627,930004,03,20151.117861.118031.106161.10712-0.010770.0107704,03,20151.10712-0.0107700.0107705,03,2015 02:00:00,000,1,10715,1,11142,1,09874,1,10266,171389427612,304905,03,20151.107151.111421.098741.10266-0.004460.0044605,03,20151.10266-0.0044600.0044606,03,2015 02:00:00,000,1,10266,1,10306,1,08390,1,08440,159697710571,289206,03,20151.102661.103061.08391.0844-0.018260.0182606,03,20151.0844-0.0182600.0182607,03,2015 02:00:00,000,1,08440,1,08440,1,08440,1,08440,0,000007,03,20151.08441.08441.08441.0844007,03,20151.084400008,03,2015 02:00:00,000,1,08440,1,08558,1,08228,1,08408,14708200195,312508,03,20151.08441.085581.082281.08408-0.000320.0003208,03,20151.08408-0.0003200.0003209,03,2015 02:00:00,000,1,08410,1,09065,1,08249,1,08310,144632360839,844109,03,20151.08411.090651.082491.0831-0.000980.0009809,03,20151.0831-0.0009800.0009810,03,2015 02:00:00,000,1,08311,1,08332,1,06679,1,07046,230374561279,297210,03,20151.083111.083321.066791.07046-0.012640.0126410,03,20151.07046-0.0126400.0126411,03,2015 02:00:00,000,1,07048,1,07054,1,05112,1,05326,263773050537,109611,03,20151.070481.070541.051121.05326-0.01720.017211,03,20151.05326-0.017200.017212,03,2015 02:00:00,000,1,05328,1,06837,1,04940,1,06092,235178742065,429912,03,20151.053281.068371.04941.060920.007660.0076612,03,20151.060920.007660.00766013,03,2015 02:00:00,000,1,06091,1,06347,1,04624,1,04943,195294069824,219113,03,20151.060911.063471.046241.04943-0.011490.0114913,03,20151.04943-0.0114900.0114914,03,2015 02:00:00,000,1,04943,1,04943,1,04943,1,04943,0,000014,03,20151.049431.049431.049431.049430RSRSI14,03,20151.04943000RSRSI15,03,2015 02:00:00,000,1,04943,1,05352,1,04697,1,05268,19059439941,406315,03,20151.049431.053521.046971.052680.003250.003250.0048650.008620.564385150836.077122729703015,03,20151.052680.003250.0032500.0006950.00554142860.125418922411.144198831716,03,2015 02:00:00,000,1,05267,1,06193,1,04983,1,05595,161439531494,141016,03,20151.052671.061931.049831.055950.003270.003270.00432666670.008620.50193348833.4191555098703016,03,20151.055950.003270.0032700.00087892860.00514561220.170811271714.589137964617,03,2015 02:00:00,000,1,05595,1,06507,1,05520,1,06080,158316280151,367317,03,20151.055951.065071.05521.06080.004850.004850.00472666670.008620.548337200335.4145854146703017,03,20151.06080.004850.0048500.00116257650.00477806850.243315165419.569870309618,03,2015 02:00:00,000,1,06080,1,10351,1,05799,1,08460,231037160278,320518,03,20151.06081.103511.057991.08460.02380.02380.00475750.0095150.533.3333333333703018,03,20151.08460.02380.023800.00277953530.00443677790.626476107138.517387642119,03,2015 02:00:00,000,1,08457,1,08460,1,06128,1,06942,234644020019,531419,03,20151.084571.08461.061281.06942-0.015180.015180.0085660.00933571430.91755164547.8501659857703019,03,20151.06942-0.0151800.015180.00258099710.00520415090.495949705233.152832844720,03,2015 02:00:00,000,1,06942,1,08816,1,06564,1,08160,176685741210,937720,03,20151.069421.088161.065641.08160.012180.012180.0085660.01086714290.788247666644.0793342743703020,03,20151.08160.012180.0121800.00326664020.00483242580.675983507640.333541740721,03,2015 02:00:00,000,1,08160,1,08160,1,08160,1,08160,0,000021,03,20151.08161.08161.08161.081600.00916833330.0096350.951565473148.7590852686703021,03,20151.08160000.00303330870.00448725260.675983507640.333541740722,03,2015 02:00:00,000,1,08160,1,08828,1,07919,1,08072,24038279541,015722,03,20151.08161.088281.079191.08072-0.000880.000880.00916833330.0096350.951565473148.7590852686703022,03,20151.08072-0.0008800.000880.00281664380.00422959170.66593752839.973739517823,03,2015 02:00:00,000,1,08071,1,09713,1,07673,1,09286,255553749511,719223,03,20151.080711.097131.076731.092860.012140.012140.00916833330.00972833330.94243618348.5182571882703023,03,20151.092860.012140.0121400.00348259780.0039274780.886726253246.998140386124,03,2015 02:00:00,000,1,09286,1,10292,1,08904,1,09293,220138242675,781424,03,20151.092861.102921.089041.092930.000070.000070.00959285710.0114780.835760336545.5266583501703024,03,20151.092930.000070.0000700.00323884080.00364694380.888097264147.036626820125,03,2015 02:00:00,000,1,09292,1,10144,1,09069,1,09691,203681041259,766125,03,20151.092921.101441.090691.096910.003980.003980.00840250.01118750.751061452542.8917815212703025,03,20151.096910.003980.0039800.00329178080.00338644790.972045320249.291226233726,03,2015 02:00:00,000,1,09690,1,10522,1,08564,1,08764,255512041015,625426,03,20151.09691.105221.085641.08764-0.009270.009270.00791111110.00918333330.861464004846.2788430289703026,03,20151.08764-0.0092700.009270.00305665360.00380670160.802966433344.535850388727,03,2015 02:00:00,000,1,08765,1,09485,1,08011,1,08874,210202830566,406327,03,20151.087651.094851.080111.088740.00110.00110.00794250.0092050.862846279246.3187053506703027,03,20151.088740.00110.001100.00291689260.00353479430.825194439145.211316745128,03,2015 02:00:00,000,1,08874,1,08874,1,08874,1,08874,0,000028,03,20151.088741.088741.088741.0887400.00718222220.00844333330.850638241945.9645879258703028,03,20151.088740000.00270854310.0032823090.825194439145.211316745129,03,2015 03:00:00,000,1,08874,1,08950,1,08549,1,08773,18049980102,539129,03,20151.088741.08951.085491.08773-0.001010.001010.00718222220.00844333330.850638241945.9645879258703029,03,20151.08773-0.0010100.001010.00251507580.00312000120.806113714344.632500597130,03,2015 03:00:00,000,1,08775,1,08842,1,08098,1,08283,185206199218,750230,03,20151.087751.088421.080981.08283-0.00490.00490.007673750.0065851.165337889153.8178311563703030,03,20151.08283-0.004900.00490.00233542750.0032471440.71922511341.83426053931,03,2015 03:00:00,000,1,08284,1,08345,1,07130,1,07791,213115330131,531231,03,20151.082841.083451.07131.07791-0.004920.004920.00830285710.0062481.328882385257.0609487904703031,03,20151.07791-0.0049200.004920.00216861130.00336663370.644148263139.17823456301,04,2015 03:00:00,000,1,07791,1,07999,1,07184,1,07662,189226520231,724201,04,20151.077911.079991.071841.07662-0.001290.001290.00887833330.00602666671.473174778859.566141116703001,04,20151.07662-0.0012900.001290.00201371050.00321830270.625705727938.488252649102,04,2015 03:00:00,000,1,07663,1,09050,1,07661,1,08683,184289189961,909302,04,20151.076631.09051.076611.086830.010210.010210.0058940.005351.10168224352.4190679473703002,04,20151.086830.010210.0102100.00259915970.0029884240.869742625946.516703092703,04,2015 03:00:00,000,1,08683,1,10270,1,08669,1,09713,81643890091,180803,04,20151.086831.10271.086691.097130.01030.01030.00661333330.00371166671.781769196264.0516545601703003,04,20151.097130.01030.010300.00314921970.00277496511.134868224453.158701386304,04,2015 03:00:00,000,1,09713,1,09713,1,09713,1,09713,0,000004,04,20151.097131.097131.097131.0971300.00630.00371166671.69735069662.9265856501703004,04,20151.097130000.00292427550.00257675331.134868224453.158701386305,04,2015 03:00:00,000,1,09713,1,10178,1,09713,1,09811,22133069956,303105,04,20151.097131.101781.097131.098110.000980.000980.00630.00371166671.69735069662.9265856501703005,04,20151.098110.000980.0009800.00278539860.00239269951.16412388353.791924397506,04,2015 03:00:00,000,1,09812,1,10356,1,09100,1,09516,109803300029,280106,04,20151.098121.103561.0911.09516-0.002950.002950.005540.0042781.294997662556.4269708698703006,04,20151.09516-0.0029500.002950.00258644160.00243250671.063282420251.533537522807,04,2015 03:00:00,000,1,09517,1,09526,1,08032,1,08321,191797690034,866107,04,20151.095171.095261.080321.08321-0.011950.011950.004440.00405666671.09449465952.255786583703007,04,20151.08321-0.0119500.011950.00240169580.00311232760.771671895843.556140256208,04,2015 03:00:00,000,1,08323,1,08873,1,07605,1,07827,213592439747,931408,04,20151.083231.088731.076051.07827-0.004940.004940.0053140.00518428571.025020666950.6177879382703008,04,20151.07827-0.0049400.004940.00223014610.00324287570.687706314440.747984916709,04,2015 03:00:00,000,1,07829,1,07886,1,06377,1,06708,187839670255,661309,04,20151.078291.078861.063771.06708-0.011190.011190.00564750.005153751.095804026252.2856150908703009,04,20151.06708-0.0111900.011190.00207084990.00381052740.543454935335.210288483510,04,2015 03:00:00,000,1,06707,1,06833,1,05679,1,06022,157224829953,194010,04,20151.067071.068331.056791.06022-0.006860.006860.00564750.005393751.047045191251.149099966703010,04,20151.06022-0.0068600.006860.00192293210.00402834690.477350171632.311240813311,04,2015 03:00:00,000,1,06022,1,06022,1,06022,1,06022,0,000011,04,20151.060221.060221.060221.0602200.00716333330.00555666671.289142171656.3155136268703011,04,20151.060220000.00178557980.00374060780.477350171632.311240813312,04,2015 03:00:00,000,1,06022,1,06190,1,05847,1,05962,24383280029,252612,04,20151.060221.06191.058471.05962-0.00060.00060.00716333330.00555666671.289142171656.3155136268703012,04,20151.05962-0.000600.00060.00165803840.00351627870.471532127532.04361757913,04,2015 03:00:00,000,1,05964,1,06170,1,05203,1,05776,181957010205,625913,04,20151.059641.06171.052031.05776-0.001860.001860.00716333330.00551111111.299798387156.5179275883703013,04,20151.05776-0.0018600.001860.00153960710.00339797310.453095721431.181409092714,04,2015 03:00:00,000,1,05775,1,07074,1,05315,1,06325,192362979924,558714,04,20151.057751.070741.053151.063250.005490.005490.00716333330.00517333331.384664948558.065387733703014,04,20151.063250.005490.0054900.0018217780.00315526070.577377958136.603653242415,04,2015 03:00:00,000,1,06326,1,07017,1,05708,1,06763,192763650017,975115,04,20151.063261.070171.057081.067630.004380.004380.0067450.0052051.295869356456.4435146444703015,04,20151.067630.004380.0043800.00200450810.00292988490.684159333440.62319519510.0062720.00576428571.088079306152.109098677870307030