Heuristic based trading system on Forex data using technical indicator rules

Date

2016-06-01

Author

ÖZTÜRK, MURAT
Toroslu, İsmail Hakkı
Fidan, Guven

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This work is licensed under a Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License.

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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.

Subject Keywords

Forex, Technical analysis, Technical indicator, Trading rule, Heuristic methods, Genetic algorithm, Trading system

URI

https://hdl.handle.net/11511/35012

Journal

APPLIED SOFT COMPUTING

DOI

https://doi.org/10.1016/j.asoc.2016.01.048

Collections

Department of Computer Engineering, Article

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Citation Formats

M. ÖZTÜRK, İ. H. Toroslu, and G. Fidan, “Heuristic based trading system on Forex data using technical indicator rules,” APPLIED SOFT COMPUTING, pp. 170–186, 2016, Accessed: 00, 2020. [Online]. Available: https://hdl.handle.net/11511/35012.