Heuristic based trading system on Forex data using technical indicator rules

ÖZTÜRK M., TOROSLU İ. H., Fidan G.

APPLIED SOFT COMPUTING, cilt.43, ss.170-186, 2016 (SCI-Expanded) identifier identifier

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 43
  • Basım Tarihi: 2016
  • Doi Numarası: 10.1016/j.asoc.2016.01.048
  • Dergi Adı: APPLIED SOFT COMPUTING
  • Derginin Tarandığı İndeksler: Science Citation Index Expanded (SCI-EXPANDED), Scopus
  • Sayfa Sayıları: ss.170-186
  • Anahtar Kelimeler: Forex, Technical analysis, Technical indicator, Trading rule, Heuristic methods, Genetic algorithm, Trading system, GENETIC ALGORITHMS
  • Orta Doğu Teknik Üniversitesi Adresli: Evet

Özet

Technical indicators are widely used in Forex and other financial markets which are the building blocks of many trading systems. A trading system is based on technical indicators or pattern-based approaches which produces buy/sell signals to trade in the market. In this paper, a heuristic based trading system on Forex data, which is developed using popular technical indicators is presented. The system grounds on selecting and combining the trading rules based on indicators using heuristic methods. The selection of the trading rules is realized by using Genetic algorithm and a greedy search heuristic. A weighted majority voting method is proposed to combine the technical indicator based trading rules to form a single trading rule. The experiments are conducted on 2 major currency pairs in 3 different time frames where promising results are achieved. (C) 2016 Elsevier B.V. All rights reserved.