Salman, Ozgur and Melissourgos, Themistoklis and Kampouridis, Michail (2023) Optimization of Trading Strategies using a Genetic Algorithm under the Directional Changes Paradigm with Multiple Thresholds. In: IEEE Congress on Evolutionary Computation (CEC), 2023-07-01 - 2023-07-05, Chicago, USA. (In Press)
Salman, Ozgur and Melissourgos, Themistoklis and Kampouridis, Michail (2023) Optimization of Trading Strategies using a Genetic Algorithm under the Directional Changes Paradigm with Multiple Thresholds. In: IEEE Congress on Evolutionary Computation (CEC), 2023-07-01 - 2023-07-05, Chicago, USA. (In Press)
Salman, Ozgur and Melissourgos, Themistoklis and Kampouridis, Michail (2023) Optimization of Trading Strategies using a Genetic Algorithm under the Directional Changes Paradigm with Multiple Thresholds. In: IEEE Congress on Evolutionary Computation (CEC), 2023-07-01 - 2023-07-05, Chicago, USA. (In Press)
Abstract
This paper explores the use of the Directional Changes (DC) paradigm for financial forecasting. DC is an event-based alternative to the traditional approach of time-series with fixed intervals. In the DC approach, price movements are recorded when specific events occur, rather than in fixed time intervals, while significant price changes are identified using a threshold. Here, we consider a more general model that allows multiple weighted thresholds, and propose three novel trading strategies built within the DC paradigm. To optimize the weights of the thresholds, we use a genetic algorithm and manage to find strategies that outperform previously known single-threshold strategies under the common efficiency metrics. Furthermore, our method manages to create profitable trading strategies that outperform some traditional ones, such as buy-and-hold, MACD, and RSI.
Item Type: | Conference or Workshop Item (Paper) |
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Additional Information: | Published proceedings: _not provided_ |
Uncontrolled Keywords: | directional changes; multiple thresholds; trading strategies; genetic algorithm; financial forecasting |
Divisions: | Faculty of Science and Health Faculty of Science and Health > Computer Science and Electronic Engineering, School of |
SWORD Depositor: | Unnamed user with email elements@essex.ac.uk |
Depositing User: | Unnamed user with email elements@essex.ac.uk |
Date Deposited: | 07 Jun 2023 10:06 |
Last Modified: | 09 Sep 2024 03:03 |
URI: | http://repository.essex.ac.uk/id/eprint/35483 |
Available files
Filename: CEC_chicago-3.pdf