Szczegóły publikacji

Opis bibliograficzny

A multi-model approach to the development of algorithmic trading systems for the Forex market / Pavel Sevastjanov, Krzysztof Kaczmarek, Leszek RUTKOWSKI // Expert Systems with Applications ; ISSN 0957-4174. — 2024 — vol. 236 art. no. 121310, s. 1–26. — Bibliogr. s. 25–26, Abstr. — Publikacja dostępna online od: 2023-08-25. — L. Rutkowski - dod. afiliacja: Systems Research Institute of the Polish Academy of Sciences, Warsaw, Poland


Autorzy (3)


Słowa kluczowe

multi-model approachforextechnical analysisalgorithmic trading system

Dane bibliometryczne

ID BaDAP151022
Data dodania do BaDAP2024-01-23
Tekst źródłowyURL
DOI10.1016/j.eswa.2023.121310
Rok publikacji2024
Typ publikacjiartykuł w czasopiśmie
Otwarty dostęptak
Czasopismo/seriaExpert Systems with Applications

Abstract

In the decade passed, considerable affords were made to develop effective trading systems based on different assumptions concerned with the market nature, methods for data processing and uncertainty modeling. Such systems are often so sophisticated that they can be applied only by their authors. Another limitation of them is concerned with the focus on the development of a universal single best model. Besides, any model works well only in limited time periods and fails when noticeable changes in the market behavior occur. Then a major revision or the development of a new model is inevitable. Unfortunately, usually this needs too much time. Therefore, in this paper, to avoid the above problems, the simple multi-model approach to the development of trading systems in the Forex market is proposed. It is based on some working hypotheses, which are justified in this paper. The first of them is based on the observation that the Forex is the aggregation of numerous streams (strategies) provided by the broad trades community. Therefore, we can expect that even a very simple model based on the particular trading idea or ideas may catch such a string to be profitable, at least during a small period. If we have developed a set of such simple models optimized for different currency pairs, in each trading period we can use the model providing maximal profit for a certain currency pair. The profitability of the proposed approach is illustrated by the trading results obtained on the symbols EURUSD,GBPUSD, AUDUSD and USDJPY for the timeframes H1 and H4 with the use of the Meta Trader 4 platform.

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