Construction and Evaluation of Trading Systems: Warsaw Index Futures‪.‬

Abstract This paper presents and compares 15 trading systems constructed for the Warsaw Stock Exchange futures contracts. These trading systems are constructed applying technical analysis and artificial neural networks (ANN). The efficiency of constructed trading systems is measured by the profit, which could be gained on the analyzed market when an investor uses various methods of buy and sell signals generating. Investigation is conducted for daily observations of stock index WIG20 futures from December 1, 1999 to November 28, 2003. The conclusion is that the combination of the technical analysis and artificial intelligence in order to gain profit from trading on the Polish futures market can bring much better investment results than trade in the traditional way. (JEL G10, C45)