FX technical trading rules can be profitable sometimes!
نویسندگان
چکیده
منابع مشابه
GP-evolved Technical Trading Rules Can Outperform Buy and Hold
This paper presents a number of experiments in which GP-evolved technical trading rules outperform a buy-and-hold strategy on the S&P500, even taking into account transaction costs. Several methodology changes from previous work are discussed and tested. These include a complexity-penalizing factor, a fitness function that considers consistency of performance, and coevolution of a separate buy ...
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The profitability of chartist trading rules on foreign exchange markets is still under debate. Since simple technical trading rules may not adequately capture the complex phenomenon of chartist trading, this paper focuses on the prominent head-and-shoulder pattern as a representative trading rule which incorporates various „technical“ ideas such as smoothed trends, trend reversal, resistance le...
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Genetic algorithms are applied to several simulated data series to study the predicting power of technical trading rules. The two kinds of rules considered are moving averages and filter rules. Genetic algorithms simulate how the best rule is uncovered by analysts over time. The analysis supports the predicting power of technical rules. The predictability is especially strong for data with movi...
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.Traders make trade decisions specifying entry, exit, and stop loss prices. Technicians often decide on entry, exit, and stop loss prices based on a predefined set of technical rules. In this paper, we employ a method based on grammatical evolution to coevolve technical rules for entry, exit, and stop loss for trading a London Stock Exchange (LSE) based stock in high frequency. We consider the ...
متن کاملCooperative Coevolution of Technical Trading Rules
This paper describes how cooperative coevolution can be used for GP of technical trading rules. A number of different methods of choosing collaborators for fitness evaluation are investigated. Several of the methods outperformed, at a statistically significant level, a buy-and-hold strategy for the S&P500 on the testing period from 1990-2002, even taking into account transaction costs.
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ژورنال
عنوان ژورنال: International Review of Financial Analysis
سال: 2017
ISSN: 1057-5219
DOI: 10.1016/j.irfa.2016.12.010