U-Mart Project (c)2000 Rikiya FUKUMOTO (c)2002 U-Mart Project Yuji KAWABE Dept. of Information Science and Intelligent Systems, Faculty of Engineering, The University of Tokushima

2-1 Minamijosanjima, Tokushima, Tokushima, 770-8506, Japan.

+81-88-656-9139 +81-88-656-9139 yuuji@is.tokushima-u.ac.jp Isao ONO Dept. of Information Science and Intelligent Systems, Faculty of Engineering, The University of Tokushima

2-1 Minamijosanjima, Tokushima, Tokushima, 770-8506, Japan.

+81-88-656-9139 +81-88-656-9139 isao@is.tokushima-u.ac.jp Hajime KITA National Institution for Academic Degree

3-29-1 Ootsuka, Bunkyo, Tokyo, 112-0012, Japan.

+81-3-3942-9972 +81-3-3942-9972 kita@niad.ac.jp RSI Strategy

The agent buys or sells based on Relative Strength Index (RSI) of futures price. RSI is one of major technical analysisi methods. The limited price is given randomly around the latest futures price, and quantity of the order is given randomly within a prescribed range. Position of the agent is also considered in decision making.

according as TestStrategy.java according as TestStrategy.java Strategy.java 1 Limit Price Yes futures price, spot price, position, cash, remaining session Short Against the trend No No Getting time series of futures price (U-Mart price). The agent calculates RSI of futures prices. RSI= upSum/(upSum+downSum), where upSum means accumulated upward price change and downSum is accumulated downward price change. If RSI become higher than threashold (1.0 - edge band value), the agent makes selling order. The agent buys when RSI is lower than threshold (edge band value). Limited price of the order is decided as Gaussian distribution whose mean value is latest futures price and standard deviation is widthOfPrice. Order volume is obtained as an uniform random numbers between minQuote and maxQuote. RsiStrategy Strategy Same as Summary of Agent widthOfPrice int Variance of limit price decided 1 ... 1000 20 maxQuant int Maximam volume of one order (minQuant+1) ... (initial cash/300,000) 50 minQuant int Minimum volume of one order 1 ... (maxQuant-1) 15 maxPosition int Upper bound of net position. For asset management. 1 ... (initial cash/300,000) 300 referenceTerm int Time window for measuring upward and downward price changes. 4 ... 40 10 empirical rule. edge double Edge band vale of RSI method 0 ... 1 0.3 empirical rule. getOrder to dicide order Order spotPrice int[] Time Series of spot price 1 ... futurePrice int[] Time Series of futures price -1 : When trade is failure, positive value : contracted futures price pos int current position Positive is buying position. Nagative is selling position. money long amount of cash 0 ... restDay int Number of to the closing of market 0 ... 240 RsiStrategy.doc, RsiStrategy.java