Analysis of asymptotic distributions of some profitability characteristics of the trade algorithms

We investigate the asymptotic behavior of a model sequence of price increments and the probability characteristics of a trade algorithm. The asymptotic normality of such characteristics as the number of buy/sell transactions and the value of total profitability has been proved for the stationary $m$-dependent sequence of price increments. The approximate formulas for the calculation of their mathematical expectations and variances as functions of parameters of a price series and a trade algorithm have been obtained. Some results of the numerical experiments are given.