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Evolutionary algorithm in Forex trade strategy generation

Conference Paper · November 2010

DOI: 10.1109/IMCSIT.2010.5679921 · Source: IEEE Xplore

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Paweł B. Myszkowski
Wroclaw University of Science and Technology
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 Proceedings of the International Multiconference on ISBN 978-83-60810-27-9
Computer Science and Information Technology pp. 81–88 ISSN 1896-7094

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TABLE I. RESULTS OF TESTING OF 200 STRATEGIES PRODUCED WITH VARIOUS MAX TREE HEIGHT PARAMETER

123456788598AB96 C D E F     

B457A6 C DD FF 122134 125637 D EC  F

B457A65A457 FC F C 864 84438 DDE D ED FE

TABLE II. RESULTS OF EXPERIMENTS WITH VARIOUS POPULATION SIZE PARAMETER

!"26A5#A$85A%AA%"2# CF F  F C CF D

B457A6   FD  1965  

B457A65A457 F D  DD 878 E CC

PAWEL MYSZKOWSKI, ADAM BICZ: EVOLUTIONARY ALGORITHM IN FOREX TRADE STRATEGY GENERATION 85

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>0.00238) or (SMA(200)>0.00349)))  A23A FAF2A8AFAFA(23& A24& A25*AAFEA
and (WMA(200)<-0.00067) AEEAADDA(EA)!FAAFADFAAE A
4AFAAFA;C44ADA!&AAA&AFFA 617#B58AAE4557#B589FF E&AAAFEAAA
EFADDAAEFAFA7C"AEFAFA655AA?A(' FAFFAFD&AAFAE AFADF*E
 AA655AEF'D&ADA)A?AEF'D*AEAE AFA 1'E $2AFEA(E4557#B58 9FF AEDE A'E
FAFDAEAEA@AEFAAFA;C"AA$55AEF'DA EEA3?6AEF&A617#B589FF EA@$3AEF*
EAE AFAEAT$?AEFAAEA)FAEFFEAFA 1(E $?AFEA(E4557#B58 9FF AEDE A'E
+C"AEADAFFAFDAEAEA8AEF2A1FAAAFA EEA65<6AEF&A617#B58AFF EAG<GAEF*

TABLE III. TABLE OF TRANSACTIONS ON H6 TIME-FRAME OF THE BEST FOUND STRATEGY (PROFITS ARE GIVEN WITHOUT PROVISION COST)

+72#26A56,8 -88% .#8% -8AB57A8 .#AB57A8 !7A65/A5A6#0

&-12 C'F'C5(F C''5( 4DFF 4E 2A4
3)-4+ C''5( C''C5(D 4E 4EE B12
&-12 C''C5(E C''D5D( 4EC 4EC 144
3)-4+ C''D5D( C''D5D(D 4ECC 4ECC 86
&-12 C''D5D(E C''E5(E 4EE 4E 4
3)-4+ C''E5(F C''F5E(E 4E 4ECD 1C8
&-12 C''F5E(F C''5( 4E 4E 49
86 PROCEEDINGS OF THE IMCSIT. VOLUME 5, 2010

1)E $2AFEA(E4557#B58A FF AEDE A'E AFF AAEAE)DAAAEAFA!F*&A

EEA6$$3AEF&A617#B58AFF EA66?6AEF*
1AAADEFEAAAFFE AAFF EAA
FAF&AEAEFAA$?$2AFE2A4FDAFA
 A  A FE A E A $32 A4E A  A EF&A
FAFEAEA(AEA1E A$*&AAFAFA23&A24AA
25A ADDFEAAFEEAA'EA!EA(EE &A
DDE *&A)FAE AFAEA &AAEE A(24&A25*A
ADDE A(23*AF2A+A'AA?AFFAEFAA&A
FAAAFA FAFF EA)'AAEE AA
DDE AFF2A8E ADAAFFAAFADDAA
FAAFE2
1AFAFEFEDAF!A!FAAADAA FADE A&AFA FAAFAFF E2
DFAAAFF AEFAAEDA617#B58AFF &AEA
AEDA)E AFAFA) EE AADDE AFAFA&A
EAEAFAEDFAAFAE'F2A-FAAFA!FAEA
FA0FAEFE&AAADDA0FAFFAFAA
EDDAEAEAAD AF2
7EFDAAFAF!A!FAA165CSAA'AA
DA)!AFF A9 A617#B58A FF AEA0FDAA
 A  AE4557#B58A (DD AF A FA ) EE & A )AF A FA &A
)AFA0FA!FAEFEAE,FA!2A;AEF
FEAA)AADAEAEAAE&A
A0DAC85H8;7&AEAADAADDAEFAFA
8;7HC85AFA FAFAEDAEFAADDAEA'F2A
4F,AFAAAAAE AFADFAA)FA
FF EA9 A617#B58A  AE4557#B582A 6A&A'EEA
FAAED&AEAEAAAAAFFEA
FAFA) EE AAAFEAAADAEFAFAFA2A
4AFFEAFAA$AEFAAFFEA(6AA
E A  A 6 A  A DE *& A E A E A )D A 'D A A
C85H8;7AE2A+AAFFEAFA/DA2ADAEA
1A4)DA1OAA4)DAOAA E'AA0EFA
DF2A=!9 617#B58A  AE4557#B58A DAA
FAA'DAAFAAFF&AIFA)AFAD
E AFEAAEAEADAF!AFAAFAE
FE2A .EFE' A617#B58 9A FF A FA E A  AF AFFA
FAAEDAEE &A FE'AAFAEF2A1FAAE
DE A 'EE2 A.EF A  A F A E A EF A FA
F A F & A ) A  A D A ' A  A EFEA

TABLE IV. RESULTS OF TESTING OF 200 STRATEGIES PRODUCED ON 5 RISING TIME-FRAMES AND ONE LONG TIME-FRAME ON 3 DATA SETS

&8278%5568#68%5 )5+ )5+D )5) )C5+ )C5+D &-125) 351

689727859",:9% 5A457A#A 'F  'C 'C  D 'DDD

68972785#8:9% 5A457A#A CD ' D DE ' 'CC 'CCD

B457A65DEF5A457A#A C C 'C 'CE CD 'CC CE

B457A65A457A#A ' ' ' 'DE D 'EF 'E

B457A65;A695672#26A5922AB5A457A#A 'D 'C 'E 'C CF 'ED 'F

.79A8%5#67268B,5A"%AB57A#A B546  'CF BA69 D 'EFF 'C

362%27%5%8A26A57757A65A457A#A D DE    F '

12357757A65A457A#A CFE D CE F CF E '

1A57757A65A457A#A 'CD 'CEE 'C 'DCF 'C 'CFDC '

18%A257757A65A457A#A ' 'CF ' 'C ED 'D '

TABLE V. RESULTS OF TESTING OF 200 STRATEGIES PRODUCED ON 5 FALLING AND 3 NEUTRAL TIME-FRAMES ON 3 DATA SETS

&8278%5568#68%5 &5+ &5+C &C5) &5+ &5+D 15) 1C5) 15) 351

689727859",:9% 5A457A#A 'FD 5C5 'FD 'D CD ' 'C 'DC 'CEE

68972785#8:9% 5A457A#A AAA 'F EE  'DCC CE C E 

B457A65DEF5A457A#A CCE CD 'F 1CA7 FF  E EC 

B457A65A457A#A 1981 125C B488 7C2  'FF DF E DE

B457A65;A695672#45922AB5A457A#A ED D 'FEC 8A7  'EC E F D

.79A8%5#67268B,5A"%AB57A#A FDD CF C52 DFE EF 'F 'F 975 4185

362%27%5%8A26A57757A65A457A#A CEF C C F    C '

12357757A65A457A#A CEF CED DCF CF DC CC DDC C '

1A57757A65A457A#A 'EECF 'D 'DCC 'EDCD 'D 'D 'CFF 'CD '

18%A257757A65A457A#A 1816 1942 'F E E 'FD  ' '

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