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Constraint-Based Inference of Heuristics for Foreign Exchange Trade Model Optimization

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  • Nikolay Ivanov
  • Qiben Yan

Abstract

The Foreign Exchange (Forex) is a large decentralized market, on which trading analysis and algorithmic trading are popular. Research efforts have been focusing on proof of efficiency of certain technical indicators. We demonstrate, however, that the values of indicator functions are not reproducible and often reduce the number of trade opportunities, compared to price-action trading. In this work, we develop two dataset-agnostic Forex trading heuristic templates with high rate of trading signals. In order to determine most optimal parameters for the given heuristic prototypes, we perform a machine learning simulation of 10 years of Forex price data over three low-margin instruments and 6 different OHLC granularities. As a result, we develop a specific and reproducible list of most optimal trade parameters found for each instrument-granularity pair, with 118 pips of average daily profit for the optimized configuration.

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  • Nikolay Ivanov & Qiben Yan, 2021. "Constraint-Based Inference of Heuristics for Foreign Exchange Trade Model Optimization," Papers 2105.14194, arXiv.org.
    • Handle: RePEc:arx:papers:2105.14194
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    References listed on IDEAS

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    1. Dimitrios Vezeris & Ioannis Karkanis & Themistoklis Kyrgos, 2019. "AdTurtle: An Advanced Turtle Trading System," JRFM, MDPI, vol. 12(2), pages 1-52, June.
    2. Grahame F. Thompson, 2017. "Time, trading and algorithms in financial sector security," New Political Economy, Taylor & Francis Journals, vol. 22(1), pages 1-11, January.
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