Directional-Change Event Trading Strategy: Profit-Maximizing Learning Strategy
Conference Paper
Publication Work Type:
Research
Publication Online URL:
Conference Name:
Seventh International Conference on Advanced Cognitive Technologies and Applications
Conference Location:
Nice, France
Conference Date:
Sunday, March 22, 2015
Sponsoring Organization:
IARIA
Publication 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.