Implementation of Testing Platform for Futures and Options Trading Strategy

• Main Authors: Yi-pen Chen, 陳乙本
• Other Authors: Yen-Tseng Hsu
• Format: Others
• Language: zh-TW
• Published: 2009
• Online Access: http://ndltd.ncl.edu.tw/handle/94993163003519910788

碩士 === 國立臺灣科技大學 === 資訊工程系 === 97 === A variety of software on futures trading strategies have been well developed in the market, including TradeStation, HTS and Wealth-Lab, etc. However, there are limited choices when it comes to option trading, let alone a platform that integrates both futures and options software portfolio strategies. As compared to futures, options have been known to be more complicated and difficult to cope with in strategic programming. The thesis starts by launching a portfolio strategy development platform, i.e., AiSMFOTP (AiSM Futures and Options Trading Platform), with a major devotion to options strategy research supplemented with futures trading. This platform delivers three main functions: 1) to employ intuitive user interfaces so that beginners can understand options as well profits & losses calculation methods better; 2) to allow users to simulate a variety of strategies based on actual data in order to identify best-fit strategies that can effectively capitalize on abnormal time values and implied volatilities; 3) to test run a spectrum of strategies by taking advantage of computers’ high-speed computing capabilities, followed by assessment reports that provide investors with recommendations. In order to enhance the scalability and feasibility of this platform, the author chooses the Microsoft DotNet technology during the design phase. The DotNet technology is based on the Object-Oriented design, featuring encapsulation, inheritance and polymorphism, which render the system as more structured. Meanwhile, the system is more scalable as it accommodates modules developed by different programming languages such as C# language and VB.NET, etc. In addition, the development interface saves more time as the model adopts the Microsoft RAD (Rapid Application Development) development tools – Visual Studio. Looking to the future, the platform endeavors to heighten users’ alert and sensitivity levels on option trading through actual data simulation. In so doing, a virtuous cycle is able to take shape as users consistently provide feedback to the system, which would help improve the system itself to better suit users’ needs.