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GECCO
2010
Springer

Interday foreign exchange trading using linear genetic programming

9 years 2 months ago
Interday foreign exchange trading using linear genetic programming
Foreign exchange (forex) market trading using evolutionary algorithms is an active and controversial area of research. We investigate the use of a linear genetic programming (LGP) system for automated forex trading of four major currency pairs. Fitness functions with varying degrees of conservatism through the incorporation of maximum drawdown are considered. The use of the fitness types in the LGP system for different currency value trends are examined 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. Categories and Subject Descriptors I.2.8 [Artificial Intelligence]: Problem Solving, Control Methods, and Search--Heuristic methods General Terms Algorithms, Performance, Experimentation Keywords foreign exchange markets, computational finance, linear genetic progra...
Garnett Carl Wilson, Wolfgang Banzhaf
Added 02 Sep 2010
Updated 02 Sep 2010
Type Conference
Year 2010
Where GECCO
Authors Garnett Carl Wilson, Wolfgang Banzhaf
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