Back

Genetic algorithn: Change in currency trend direction

Great stock selection, poor timing is the issue. 

Is there any research available or a way to predict the change in trend direction of a currency pair using perhaps genetic algorithns?  How can we optimise inidcators such as Relative strength index or Vortex Indicator? 

Update Backtest








There is a working GA integration made by James Smith, you can find it here.

I made an implementation using that framework, all the details are in the attached post. Is not an easy topic but very fun to dive into.

https://www.quantconnect.com/forum/discussion/2396/developing-trading-strategies-with-genetic-algorithms

Finally you can fin interesting the notebook by Xiang Li, is not about genetic algorithm but the approach is very interesting.

https://www.quantconnect.com/forum/discussion/2347/research---backpropagating-neural-network-using-sklearn

Good luck!

0

The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.


Thank you this. I will certainly take a close look. I have seen an implementation of GA using Matlab and a host of technical indicators. It will be interesting to compare this paper.



Charles Glah

Divergence Capital
0

Update Backtest





0

The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.


Loading...

This discussion is closed