Heuristic based trading system on Forex data using technical indicator rules

Toroslu, İsmail Hakkı
Fidan, Guven
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.


Heuristic based trading system on forex data using technical indicator rules
Öztürk, Murat; Toroslu, İsmail Hakkı; Fidan, Güven; Department of Computer Engineering (2015)
The foreign exchange market, which is widely known as Forex or FX, is the largest financial market with a daily transactional volume of $5 trillion. Due to the huge structure of the market, price analysis on FX market draws attention of many scientists and practitioners. There are 2 main analysis approaches: Fundamental and technical analysis. Fundamental analysis focuses on the macroeconomic factors such as interest rate to explain the market movements. Technical analysis deals with past market price data ...
Forecasting directional movement of forex data using LSTM with technical and macroeconomic indicators
Yıldırım, Deniz Can; Toroslu, İsmail Hakkı; Department of Computer Engineering (2019)
Foreign Exchange is known as Forex or FX is a financial market where currencies are bought and sold simultaneously. Forex is the largest financial market with more than $5 trillion volume. It is a decentralized market that is operational 24 hours in a day other than weekends which makes different from other markets. Fundamental and Technical Analysis are the two techniques that are commonly used in predicting the future prices in Forex. Fundamental Analysis concentrates on the economical, social and politic...
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Ordu-Akkaya, Beyza Mina; Ugurlu-Yildirim, Ecenur; Soytaş, Uğur (2019-06-01)
In this paper, we investigate the role of open interest, trading volume and trading positions of trader groups on volatility spillover between futures and spot markets of two major commodities; oil and gold during the last two decades. The initial analysis including only spot and futures markets imply that the relationship is bi-directional for crude oil, and uni-directional for gold. Though, including open interest and trading volume enrich our results indicating open interest and spot markets are closely ...
Forecasting directional movement of Forex data using LSTM with technical and macroeconomic indicators
Yildirim, Deniz Can; Toroslu, İsmail Hakkı; Fiore, Ugo (2021-01-01)
Forex (foreign exchange) is a special financial market that entails both high risks and high profit opportunities for traders. It is also a very simple market since traders can profit by just predicting the direction of the exchange rate between two currencies. However, incorrect predictions in Forex may cause much higher losses than in other typical financial markets. The direction prediction requirement makes the problem quite different from other typical time-series forecasting problems. In this work, we...
Reflexivity analysis of cryptocurrencies with a time-varying semi-parametric Hawkesprocess
Atak Atalık, Alev (2021-06-26)
The self-excitability and price clustering properties of the cryptocurrency market are studied to investigate the main sources of volatility, in particular, the reflexivity or the endogeneity issues. We apply our kernel estimation of the spectrum localized both in time and frequency to data sets of transaction times, revealing pertinent features in the data that had not been made visible by classical non-localized approaches based on models with constant fertility functions over time. We apply the empirical...
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.