文件名称:
A real-time adaptive trading system
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文件大小: 309kb
下载次数: 0
上传时间: 2008-03-20
详细说明： Technical analysis indicators are widely used by traders in financial and
commodity markets to predict future price levels and enhance trading
profitability. We have previously shown a number of popular indicator-based
trading rules to be loss-making when applied individually in a systematic
manner. However, technical traders typically use combinations of a broad
range of technical indicators. Moreover, successful traders tend to adapt to
market conditions by ‘dropping’ tradi ng rules as soon as they become
loss-making or when more profitable rules are found. In this paper we try to
emulate such traders by developing a trading system consisting of rules based
on combinations of different indicators at different frequencies and lags. An
initial portfolio of such rules is selected by a genetic algorithm applied to a
number of indicators calculated on a set of US Dollar/British Pound spot
foreign exchange tick data from 1994 to 1997 aggregated to various intraday
frequencies. The genetic algorithm is subsequently used at regular intervals
on out-of-sample data to provide new rules and a feedback system is utilized
to rebalance the rule portfolio, thus creating two levels of adaptivity. Despite
the individual indicators being generally loss-making over the data period,
the best rule found by the developed system is found to be modestly, but
significantly, profitable in the presence of realistic transaction costs. ...展开收缩
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