# Ron Bond November 2012

AI and Robotics

Oct 15, 2013 (4 years and 7 months ago)

99 views

Ron Bond

November
2012

Foreign Exchange

Currencies are priced in currency pairs

First symbol = Base Currency

Second symbol = Quote Currency

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

logical operators

Individuals consisted of two trees

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
-

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
-

-

Data Set

Results

Combined Strategy

Ensemble Learning approach

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