Ron Bond November 2012

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15 Οκτ 2013 (πριν από 3 χρόνια και 5 μήνες)

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Ron Bond







November
2012

Foreign Exchange


Currencies are priced in currency pairs


First symbol = Base Currency


Second symbol = Quote Currency






Trading a pair = simultaneously buying one
currency and selling the other


Pairs can be though of as a unit:

Buy pair if BASE will appreciate vs QUOTE

Sell pair if QUOTE will appreciate vs BASE

Analytical Models


Fundamental Analysis


In
-
depth analysis of an asset

s value

s underlining
factors



(Currencies) country’s fiscal policies, economic
climate, financial data, etc…



Assumes that an assets current (and future) price
depends on its intrinsic value and anticipated
return on investment

Analytical Models


Technical Analysis


Uses charts of: price, volume, and other
statistical indicators to predict future price
movement.


rests on the assumption that history
repeats itself and that future market
direction can be determined by examining
past prices.

Technical Indicators


Metrics derived from generic price activity


Used to determine future value/direction

GP
-

Tree Approach


Myszkowski and Bicz (2010)


Tree structure


Technical indicator evaluations linked by
logical operators


Represents a trading rule


Individuals consisted of two trees


Buy Signal Tree


Sell Signal Tree

Language and Operators

GP Parameters


200 runs per parameter test


Parameter with best average profit used




Best


approximated over different data
sets (Time Frames)

Data Set


Data consisted of

time frames



Frame includes 2 weeks of 10 min
interval price data


Frames were categorized based on
characteristics in price movement


Falling (Ln) (Bearish)


Neutral (Nn) (Ranging)


Rising (Hn) (Bullish)



Data Set

Experiment


200 runs per experiment


Strategy generated by training on frame
Gn and evaluated using frame Tn


Always
-
in
-
market trading style


Paper does not mention how they dealt with
conflicting signals/no signal within an
individual

Experiment


Example training result

Data Set

Fitness Function


Maximizing points function


Net profits


transaction cost


penalty


Transaction cost = 4 points


Penalty for under
-
trading


-
8 points/trade under 4 trades

Data Set

Results

Combined Strategy



Ensemble Learning approach


Trade based on majority rule

Analysis


Capital Risk Ignored


No close strategy other than reversal signal


Fitness does not factor account drawdown


Returns in study unadjusted for risk

References


Investopedia


http://www.investopedia.com/terms/c/currencypair.asp#axzz2DLU
K7Gwl


http://www.investopedia.com/terms/t/technicalindicator.asp#axzz2
DLUK7Gwl



Inter
-
day Foreign Exchange Trading using Linear
Genetic Programming


http://www.cs.mun.ca/~banzhaf/papers/GECCO2010p1139.pdf



Evolutionary Algorithm in Forex Trade Strategy
generation


http://www.proceedings2010.imcsit.org/pliks/143.pdf