Evolving trading strategies using directional changes

详细信息    查看全文

• 作者：Michael Kampouridis ; ^{M.Kampouridis@kent.ac.uk} ; Fernando E.B. Otero ^{F.E.B.Otero@kent.ac.uk}
• 关键词：Directional changes ; Financial forecasting ; Algorithmic trading ; Genetic algorithm
• 刊名：Expert Systems with Applications
• 出版年：2017
• 出版时间：1 May 2017
• 年：2017
• 卷：73
• 期：Complete
• 页码：145-160
• 全文大小：1510 K
• 卷排序：73

文摘

A novel trading strategy based on the event-based concept of directional changes. The trading strategy is optimised via a Genetic algorithm. Algorithm tested over 255 different datasets from six different FX currency pairs. Proposed approach is able to generate new and profitable trading strategies. Proposed approach significantly outperforms technical analysis and buy and hold.