A simple approach for a limit order inter-period trader for a derivative market. The idea is to place a limit order at the start of the period, specifying stop loss and take profit. Once period is over -- close the order whether profit or loss. However if a big change of the price happen -- take a fixed profit.

For buy operation a line is placed with contant being less or equal 50, and a negative slope. For sell operation a contant should be more or equal 50, and a positive slope. The expectations are that all the RSi points should be either above (for sell) or below the line (for buy). The maximum cut off should not exceed 90 for sell and 10 for buy operations respectively.

The project is still under the development...

Success measurement: sum of difference in price change divided by commission value for normalization.

Constant configurations are specified in SignalModel class per financial instrument individually.

Non-constant configurations are specified in ParametersModel class. Some of those parameters will be optimized using Nelder-Mead algorithm.

The program is designed for parallel execution specified via _degreeOfParallelism variable, by default of logical processors will be utilized.