Foreign Exchange Trading Rules Using a Single Technical Indicator from Multiple Timeframes

@article{Deng2013ForeignET,
  title={Foreign Exchange Trading Rules Using a Single Technical Indicator from Multiple Timeframes},
  author={Shangkun Deng and Akito Sakurai},
  journal={2013 27th International Conference on Advanced Information Networking and Applications Workshops},
  year={2013},
  pages={207-212}
}
  • Shangkun DengA. Sakurai
  • Published 25 March 2013
  • Business
  • 2013 27th International Conference on Advanced Information Networking and Applications Workshops
This study applies a genetic algorithm (GA) to generate trading rules for currency trading based on a single technical indicator named the Relative Strength Index (RSI) as well as multiple timeframes from which we extract the feature. The target trading currency pair is EUR/USD and trading time horizon is one hour. Using more than one timeframe may improve the assessment of the overbought or oversold conditions of the target currency pair, since different traders may have different trading time… 

Figures and Tables from this paper

An Examination of Alternative Trading Techniques Using Intraday EUR/USD Currency Prices

Global financial institutions provide a mechanism for multinational corporations to hedge against exchange rate risk via currency futures contracts and spot exchange rates. Currency managers working

Integrated Model of Multiple Kernel Learning and Differential Evolution for EUR/USD Trading

A hybrid approach referred to as MKL-DE, which combines multiple kernel learning (MKL) with differential evolution (DE) for trading a currency pair is proposed, which showed that trading using the prediction learned by MKL yielded consistent profits.

Heuristic based trading system on Forex data using technical indicator rules

Short-term foreign exchange rate trading based on the support/resistance level of Ichimoku Kinkohyo

  • Shangkun DengA. Sakurai
  • Computer Science
    2014 International Conference on Information Science, Electronics and Electrical Engineering
  • 2014
Experimental results show that the average return of one trading strategy that based on Ichimoku Kinkohyo is extremely better than that of other baseline strategies.

A Predictive Stock Market Technical Analysis Using Fuzzy Logic

F fuzzy inference to stock market, with four indicators used in technical analysis to aid in the decision making process in order to deal with probability, generates satisfactory recommendation as when to buy, sell or hold when the output is compared with actual data collected from the Nigerian Stock Exchange.

Automatic generation of trading rules adjusted to the market state

The evolutionary process of GP/GE considers commissions throughout the period as part of the fitness function, and that makes it select rules that generate a limited number of signals, which have the advantage of creating flexible structures automatically.

Financial Time Series Prediction with Information Fusion(本文)

This study demonstrates that the evaluation criteria used to examine the effectiveness of a financial market price forecasting method should be the profit and profit-risk ratio, rather than errors in prediction.

Banking Industry Stocks Analysis Using Econometric and Deep Learning Approach*

Analyzing stock prices is very difficult due to the uncertainty and their dynamic nature. Investors use many statistical techniques such as moving average, Relative Strength Index (RSI) and others to

Stocks Trading Using Relative Strength Index, Moving Average and Reinforcement Learning Techniques: A Case Study of Apple Stock Index

This paper applies the listed methods of analysis (Descriptive, technical and the Deep Q-Learning) on apple stocks index (AAPL) and finds that these techniques can be beneficial to traders and can also help making both long-term and short-term trading investment.

References

SHOWING 1-9 OF 9 REFERENCES

A Forex trading system based on a genetic algorithm

A genetic algorithm will be described that aims at optimizing a set of rules that constitute a trading system for the Forex market, showing that the best individuals have some forecasting ability.

Optimization of the trading rule in foreign exchange using genetic algorithm

This paper proposes a Genetic Algorithm system to automatically generate trading rules based on Technical Indexes, which focuses on calculating the most appropriate trade timing, instead of predicting the trading prices.

Prediction of Foreign Exchange Market States with Support Vector Machine

This paper proposes a method to give an early warning of an abrupt change of price in a foreign exchange market by using support vector machine that learns sequences of volatility levels estimated by hidden Markov model and makes prediction of the level.

Trading Rule Generation for Foreign Exchange (FX)

In the previous chapters, computational intelligence, in the form of EC, processes large amounts of financial data, and transforms it into information that can be used by a human trader.

Genetic Algorithms in Search Optimization and Machine Learning

This book brings together the computer techniques, mathematical tools, and research results that will enable both students and practitioners to apply genetic algorithms to problems in many fields.

The Nature of Statistical Learning Theory

  • V. Vapnik
  • Computer Science
    Statistics for Engineering and Information Science
  • 2000
Setting of the learning problem consistency of learning processes bounds on the rate of convergence of learning processes controlling the generalization ability of learning processes constructing

New Concepts in Technical Trading Systems

Akito Sakurai

  • Akito Sakurai
  • 2011