Name
Abstract | ||
|---|---|---|
This paper evolves trading strategies using genetic programming on high-frequency tick data of the USD/EUR exchange rate covering the calendar year 2006. This paper proposes a novel quad tree structure for trading system design. The architecture consists of four trees each solving a separate task, but mutually dependent for overall performance. Specifically, the functions of the trees are related to initiating ("entry") and terminating ("exit") long and short positions. Thus, evaluation is contingent on the current market position. Using this architecture the paper investigates the effects of money management. Money management refers to certain measures that traders use to control risk and take profits, but it is found that it has a detrimental effects on performance. |
Year | DOI | Venue |
|---|---|---|
2009 | 10.1007/978-3-642-01129-0_20 | EvoWorkshops '09 Proceedings of the EvoWorkshops 2009 on Applications of Evolutionary Computing: EvoCOMNET, EvoENVIRONMENT, EvoFIN, EvoGAMES, EvoHOT, EvoIASP, EvoINTERACTION, EvoMUSART, EvoNUM, EvoSTOC, EvoTRANSLOG |
Keywords | Field | DocType |
trading strategy,transaction cost,foreign exchange market,tree structure,high frequency,profitability,risk aversion | Trading strategy,Loss aversion,Foreign exchange market,Computer science,Microeconomics,Genetic programming,Alternative trading system,Sharpe ratio,Algorithmic trading,Exchange rate | Conference |
Volume | ISSN | Citations |
5484 | 0302-9743 | 5 |
PageRank | References | Authors |
0.97 | 3 | 2 |
Name | Order | Citations | PageRank |
|---|---|---|---|
| Philip Saks | 1 | 8 | 1.61 |
| Dietmar Maringer | 2 | 156 | 11.35 |