Paper Info
Title
Intelligent Dynamic Backlash Agent: A Trading Strategy Based on the Directional Change Framework.
Abstract
The Directional Changes (DC) framework is an approach to summarize price movement in financial time series. Some studies have tried to develop trading strategies based on the DC framework. Dynamic Backlash Agent (DBA) is a trading strategy that has been developed based on the DC framework. Despite the promising results of DBA, DBA employed neither an order size management nor risk management components. In this paper, we present an improved version of DBA named Intelligent DBA (IDBA). IDBA overcomes the weaknesses of DBA as it embraces an original order size management and risk management modules. We examine the performance of IDBA in the forex market. The results suggest that IDBA can provide significantly greater returns than DBA. The results also show that the IDBA outperforms another DC-based trading strategy and that it can generate annualized returns of about 30% after deducting the bid and ask spread (but not the transaction costs).
Year
DOI
Venue
2018
10.3390/a11110171
ALGORITHMS
Keywords
Field
DocType
algorithmic trading,trading strategy,directional change,forex,forecasting
Trading strategy,Mathematical optimization,Transaction cost,Backlash,Foreign exchange market,Operations research,Risk management,Algorithmic trading,Mathematics,Bid price
Journal
Volume
Issue
ISSN
11
11
1999-4893
Citations 
PageRank 
References 
0
0.34
5
Authors
4
Name
Order
Citations
PageRank
Amer Bakhach100.34
Venkata L. Raju Chinthalapati200.34
Edward P. K. Tsang389987.77
Abdul Rahman El Sayed400.68