Multi-Agent Forex Trading System

Barbosa, Rui Pedro; Belo, Orlando

doi:10.1007/978-3-642-13526-2_5

Cited by 19 publications

(7 citation statements)

References 7 publications

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“…The FBS broker has also reported that on December 28, 2018, the gold price was $1284.55 per troy ounce [30]. Using Equation (8) we obtain that for Au the current lot value is as follows v XAU/USD = 100 oz•$1284.55 = $128, 455.…”

Section: Examplementioning

confidence: 95%

“…New modernist mathematical theories are the obvious area of research for new trading systems. Among other things, we show here such theories as advanced statistical methods [7][8][9], genetic algorithms [10][11][12], advanced methods of artificial intelligence [10], neural networks [11], multi agent theory [8], and mathematics for fuzzy systems [8]. An application of the above theories requires very strong assumptions.…”

Section: Introductionmentioning

confidence: 99%

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The Forex Trading System for Speculation with Constant Magnitude of Unit Return

Piasecki

Stasiak

2019

Mathematics

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The main purpose of this article is to investigate a speculative trading system with a constant magnitude of return rate. We consider speculative operations related to the exchange rate given as the quotient of the base exchange medium by the quoted currency. An exchange medium is understood as any currency or any precious metal. The unit return is defined as the return expressed in the quoted currency by the amount of base exchange medium. All possible states of the exchange market form a finite elemental space. All knowledge about the dynamics of this market is presented as a prediction table describing the conditional probability distributions of incoming exchange rate changes. On the other hand, in the proposed trading system each speculative operation is concluded in such a way that the gross payment is determined by the given magnitude of unit return. The paper contains an analysis of the following evaluation criteria: annual number of transaction, success probability, expected unit payment, expected unit profit, risk index, unit risk premium, return rate, interest rate, and interest risk premium. Both of these indices can be used to select the effective trading systems. Effectiveness is considered in the local sense and in the global sense.

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Section: Examplementioning

confidence: 95%

Section: Introductionmentioning

confidence: 99%

The Forex Trading System for Speculation with Constant Magnitude of Unit Return

Piasecki

Stasiak

2019

Mathematics

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“…Sobre sistemas de negociações automatizados, o autor [Barbosa and Belo 2010], descreve que, a fim de obter uma vantagem sobre seus concorrentes, instituições financei-ras e outras os participantes têm dedicado e aumentando a quantidade de tempo e recursos para o desenvolvimento de sistemas de negociação automatizados. Por razões óbvias, a maioria desses sistemas é proprietária, e sua implementação é envolta em sigilo.…”

Section: Trabalhos Relacionadosunclassified

Mineração de dados para analisar estratégia de negociação para o mercado de câmbio

Silva¹,

Bentes²,

Silva³

et al. 2019

ENCOINFO

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O trabalho em questão, tem como objetivo utilizar mineração de dados para analisar estratégia de negociação no mercado de câmbio. Neste tra- balho será apresentado conceitos e caraterísticas do mercado de câmbio, e por quais motivos e vantagens podemos utilizar a mineração de dados para explo- rar este mercado. Utilizando a mineração de dados foi realizada a análise utilizando o período de 18 anos de operações.

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“…Constant take profit was used by Krishnan and Menon (2009), defined at 20 pips, in an interesting work that examined the influence that rate, closing price times, and indicators participating in trading systems (RSI, BB, Stoch, SAR, MACD, ADX, CCI, Williams %R, Mom, A/D) have on profit. Take profit was also set at 20 pips by Barbosa and Belo (2010). Even in systems that are based on the flow of buy and sell orders and not on the price itself, as postulated by Bates et al (2003), stop loss and take profit were used as a function of returns 0-0.5%, 0.5-1%, etc.…”

Section: Take Profit and Stop Lossmentioning

confidence: 99%

Take Profit and Stop Loss Trading Strategies Comparison in Combination with an MACD Trading System

Vezeris

Kyrgos

Schinas

2018

JRFM

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A lot of strategies for Take Profit and Stop Loss functionalities have been propounded and scrutinized over the years. In this paper, we examine various strategies added to a simple MACD automated trading system and used on selected assets from Forex, Metals, Energy, and Cryptocurrencies categories and afterwards, we compare and contrast their results. We conclude that Take Profit strategies based on faster take profit signals on MACD are not better than a simple MACD strategy and of the different Stop Loss strategies based on ATR, the sliding and variable ATR window has the best results for a period of 12 and a multiplier of 6. For the first time, to the best of our knowledge, we implement a combination of an adaptive MACD Expert Advisor that uses back-tested optimized parameters per asset with price levels defined by the ATR indicator, used to set limits for Stop Loss.

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Multi-Agent Forex Trading System

Cited by 19 publications

References 7 publications

The Forex Trading System for Speculation with Constant Magnitude of Unit Return

The Forex Trading System for Speculation with Constant Magnitude of Unit Return

Mineração de dados para analisar estratégia de negociação para o mercado de câmbio

Take Profit and Stop Loss Trading Strategies Comparison in Combination with an MACD Trading System

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