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Menampilkan postingan dari Oktober, 2015

Applying Corrective AI to Daily Seasonal Forex Trading

  By Sergei Belov, Ernest Chan, Nahid Jetha, and Akshay Nautiyal     ABSTRACT We applied Corrective AI (Chan, 2022) to a trading model that takes advantage of the intraday seasonality of forex returns. Breedon and Ranaldo (2012)   observed that foreign currencies depreciate vs. the US dollar during their local working hours and appreciate during the local working hours of the US dollar. We first backtested the results of Breedon and Ranaldo on recent EURUSD data from September 2021 to January 2023 and then applied Corrective AI to this trading strategy to achieve a significant increase in performance. Breedon and Ranaldo (2012) described a trading strategy that shorted EURUSD during European working hours (3 AM ET to 9 AM ET, where ET denotes the local time in New York, accounting for daylight savings) and bought EURUSD during US working hours (11 AM ET to 3 PM ET). The rationale is that large-scale institutional buying of the US dollar takes place during European working hours to pa

An open-source genetic algorithm software (Guest post)

By Lukasz Wojtow Mechanical traders never stop researching for the next market edge. Not only to get better results but also to have more than one system. The best trading results can be achieved with multiple non-correlated systems traded simultaneously. Unfortunately, most traders use similar market inefficiency: some traders specialize in trend following, some in mean reversion and so on. That's because learning to exploit one kind of edge is hard enough, mastering all of them – impossible. It would be beneficial to have a software that creates many non-related systems. Recently I released Genotick - an open source software that can create and manage a group of trading systems. At the Genotick's core lies an epiphany: if it's possible to create any software with just a handful of assembler instructions, it should be possible to create any trading systems with a handful of similarly simple instructions. These simple and meaningless-on-its-own instructions become extremely