- author = "Alexander Loginov and Malcolm I. Heywood",
- title = "On the Utility of Trading Criteria Based Retraining in Forex Markets",
- booktitle = "Applications of Evolutionary Computing, EvoApplications 2013: EvoCOMNET, EvoCOMPLEX, EvoENERGY, EvoFIN, EvoGAMES, EvoIASP, EvoINDUSTRY, EvoNUM, EvoPAR, EvoRISK, EvoROBOT, EvoSTOC",
- year = "2013",
- month = "3-5 " # apr,
- editor = "Anna I. Esparcia-Alcazar and Antonio Della Cioppa and Ivanoe {De Falco} and Ernesto Tarantino and Carlos Cotta and Robert Schaefer and Konrad Diwold and Kyrre Glette and Andrea Tettamanzi and Alexandros Agapitos and Paolo Burrelli and J. J. Merelo and Stefano Cagnoni and Mengjie Zhang and Neil Urquhart and Kevin Sim and Aniko Ekart and Francisco {Fernandez de Vega} and Sara Silva and Evert Haasdijk and Gusz Eiben and Anabela Simoes and Philipp Rohlfshagen",
- series = "LNCS",
- volume = "7835",
- publisher = "Springer Verlag",
- address = "Vienna",
- publisher_address = "Berlin",
- pages = "192--202",
- organisation = "EvoStar",
- keywords = "genetic algorithms, genetic programming, Coevolution, non-stationary, FX, Forex, Currency",
- isbn13 = "978-3-642-37191-2",
-
DOI = "
doi:10.1007/978-3-642-37192-9_20",
- size = "11 pages",
- abstract = "This research investigates the ability of genetic programming (GP) to build profitable trading strategies for the Foreign Exchange Market (FX) of three major currency pairs (EURUSD, USDCHF and EURCHF) using one hour prices from 2008 to 2011. We recognise that such environments are likely to be non-stationary. Thus, we do not require a single training partition to capture all likely future behaviours. We address this by detecting poor trading behaviours and use this to trigger retraining. In addition the task of evolving good technical indicators (TI) and the rules for deploying trading actions is explicitly separated. Thus, separate GP populations are used to coevolve TI and trading behaviours under a mutualistic symbiotic association. The results of 100 simulations demonstrate that an adaptive retraining algorithm significantly outperforms a single-strategy approach (population evolved once) and generates profitable solutions with a high probability.",
-
notes = "
EvoApplications2013 held in conjunction with EuroGP2013, EvoCOP2013, EvoBio'2013 and EvoMusArt2013",
