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Interday foreign exchange trading using linear genetic programming

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Published:07 July 2010Publication History

ABSTRACT

Foreign exchange (forex) market trading using evolutionary algorithms is an active and controversial area of research. We investigate the use of a linear genetic programming (LGP) system for automated forex trading of four major currency pairs. Fitness functions with varying degrees of conservatism through the incorporation of maximum drawdown are considered. The use of the fitness types in the LGP system for different currency value trends are examined in terms of performance over time, underlying trading strategies, and overall profitability. An analysis of trade profitability shows that the LGP system is very accurate at both buying to achieve profit and selling to prevent loss, with moderate levels of trading activity.

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      cover image ACM Conferences
      GECCO '10: Proceedings of the 12th annual conference on Genetic and evolutionary computation
      July 2010
      1520 pages
      ISBN:9781450300728
      DOI:10.1145/1830483

      Copyright © 2010 ACM

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      Publication History

      • Published: 7 July 2010

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