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Directional-Change Event Trading Strategy: Profit-Maximizing Learning Strategy

Authors:
Monira Aloud

Keywords: Trading strategies; Autonomous trading agent strategies; Pattern recognition; FX Market.

Abstract:
Abstract--- Many investors seek a trading strategy in order to maximize their profit. In the light of this, this paper derived a new trading strategy (DCT1) based on the Zero-Intelligence Directional Change Trading Strategy ZI-DCT0, and found that the resulting strategy outperforms the original one. We enhanced the conventional ZI-DCT0 by learning the size and direction of periodic fixed patterns from the price history for EUR/USD currency pairs. To evaluate DCT1, experiments were carried out using the bid and ask prices for EUR/USD currency pairs from the OANDA trading platform over the year 2008. We compared the resulting profits from ZI-DCT0 and DCT1. The analysis revealed interesting results and evidence that the proposed DCT1 investment strategy can indeed generate effective electronic trading investment returns for investors with a high rate of return. The results of this study can be used further to develop decision support systems and autonomous trading agent strategies for the FX market.

Pages: 123 to 129

Copyright: Copyright (c) IARIA, 2015

Publication date: March 22, 2015

Published in: conference

ISSN: 2308-4197

ISBN: 978-1-61208-390-2

Location: Nice, France

Dates: from March 22, 2015 to March 27, 2015