Optimization of the trading rule in foreign exchange using genetic algorithm

Authors:
Akinori Hirabayashi;Claus Aranha;Hitoshi Iba
Affiliations:
Hartford Life Insurance K.K., Tokyo, Japan;The University of Tokyo, Tokyo, Japan;The University of Tokyo, Tokyo, Japan
Venue:
Proceedings of the 11th Annual conference on Genetic and evolutionary computation
Year:
2009

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Abstract

The generation of profitable trading rules for Foreign Exchange (FX) investments is a difficult but popular problem. The use of Machine Learning in this problem allows us to obtain objective results by using information of the past market behavior. In this paper, we propose a Genetic Algorithm (GA) system to automatically generate trading rules based on Technical Indexes. Unlike related researches in the area, our work focuses on calculating the most appropriate trade timing, instead of predicting the trading prices.