Evolving intraday foreign exchange trading strategies utilizing multiple instruments price series

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@Misc{DBLP:journals/corr/CirilloLN14,

• author = "Simone Cirillo and Stefan Lloyd and Peter Nordin",
• title = "Evolving intraday foreign exchange trading strategies utilizing multiple instruments price series",
• howpublished = "ArXiv",
• year = "2014",
• volume = "abs/1411.2153",
• month = "8 " # nov,
• keywords = "genetic algorithms, genetic programming",
• URL = "http://arxiv.org/abs/1411.2153",
• timestamp = "Fri, 03 Jun 4433701 16:53:52 +",
• biburl = "http://dblp.uni-trier.de/rec/bib/journals/corr/CirilloLN14",
• bibsource = "dblp computer science bibliography, http://dblp.org",
• size = "15 pages",
• abstract = "We propose a Genetic Programming architecture for the generation of foreign exchange trading strategies. The system's principal features are the evolution of free-form strategies which do not rely on any prior models and the use of price series from multiple instruments as input data. This latter feature constitutes an innovation with respect to previous works documented in literature. In this article we use Open, High, Low, Close bar data at a 5 minutes frequency for the AUD.USD, EUR.USD, GBP.USD and USD.JPY currency pairs. We will test the implementation analysing the in-sample and out-of-sample performance of strategies for trading the USD.JPY obtained across multiple algorithm runs. We will also evaluate the differences between strategies selected according to two different criteria: one relies on the fitness obtained on the training set only, the second one makes use of an additional validation dataset. Strategy activity and trade accuracy are remarkably stable between in and out of sample results. From a profitability aspect, the two criteria both result in strategies successful on out-of-sample data but exhibiting different characteristics. The overall best performing out-of-sample strategy achieves a yearly return of 19percent.",

}

Genetic Programming entries for Simone Cirillo Stefan Lloyd Peter Nordin

Citations