Evolving trading strategies using directional changes
作者：
Highlights：
• A novel trading strategy based on the event-based concept of directional changes.
• The trading strategy is optimised via a Genetic algorithm.
• Algorithm tested over 255 different datasets from six different FX currency pairs.
• Proposed approach is able to generate new and profitable trading strategies.
• Proposed approach significantly outperforms technical analysis and buy and hold.
摘要
•A novel trading strategy based on the event-based concept of directional changes.•The trading strategy is optimised via a Genetic algorithm.•Algorithm tested over 255 different datasets from six different FX currency pairs.•Proposed approach is able to generate new and profitable trading strategies.•Proposed approach significantly outperforms technical analysis and buy and hold.
论文关键词：Directional changes,Financial forecasting,Algorithmic trading,Genetic algorithm
论文评审过程：Received 10 October 2016, Revised 2 December 2016, Accepted 23 December 2016, Available online 27 December 2016, Version of Record 2 January 2017.
论文官网地址：https://doi.org/10.1016/j.eswa.2016.12.032
