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Interday foreign exchange trading using linear genetic programming (2010)
| Content Provider | CiteSeerX |
|---|---|
| Author | Wilson, Garnett Banzhaf, Wolfgang |
| Description | Foreign exchange (forex) market trading using evolution-ary algorithms is an active and controversial area of re-search. We investigate the use of a linear genetic program-ming (LGP) system for automated forex trading of four ma-jor currency pairs. Fitness functions with varying degrees of conservatism through the incorporation of maximum draw-down are considered. The use of the fitness types in the LGP system for different currency value trends are exam-ined in terms of performance over time, underlying trading strategies, and overall profitability. An analysis of trade profitability shows that the LGP system is very accurate at both buying to achieve profit and selling to prevent loss, with moderate levels of trading activity. GECCO 10 Proceedings of the 12th annual conference on Genetic and evolutionary computation |
| File Format | |
| Language | English |
| Publisher Date | 2010-01-01 |
| Access Restriction | Open |
| Subject Keyword | Linear Genetic Program-ming Overall Profitability Trading Strategy Trading Activity Foreign Exchange Ma-jor Currency Pair Different Currency Value Trend Fitness Function Fitness Type Evolution-ary Algorithm Trade Profitability Controversial Area Linear Genetic Programming Interday Foreign Exchange Trading Lgp System Moderate Level Automated Forex Trading |
| Content Type | Text |
| Resource Type | Article |
