A trading method in FX using evolutionary algorithms
Badarch Tserenchimed, Shu Liu, Hitoshi Iba · 2011
In foreign exchange (FX) markets, the key issues to achieve profitable trading rules are the combination of the indicators, selection of their parameters, and decision of the trade timing for orders and settlements. In this paper, we present a trading system using a combination of genetic algorithm (GA) and genetic programming (GP). Unlike related researches on this problem, our work focuses on two aspects. First, a calculation of appropriate settlement timing is proposed, to make more profits and less losses. Second, reverse trend data are generated using in-sample data, to overcome the overfitting problem and suppress the risk of loss. To examine the effectiveness of the method, we employed simulations using real-world trading intraday data. It is verified the enhanced capability of our method to make consistent gain out-of-sample and avoid large draw-downs.