Interday foreign exchange trading using linear genetic programming

Authors:
Garnett Wilson;Wolfgang Banzhaf
Affiliations:
Memorial University of Newfoundland, St. John's, NF, Canada;Memorial University of Newfoundland, St. John's, NF, Canada
Venue:
Proceedings of the 12th annual conference on Genetic and evolutionary computation
Year:
2010

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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.