| Research Article: | Gaussian Process Kernel Crossover for Automated Forex Trading System |
| Author: | Tuchsanai Ploysuwan, Roungsan Chaisricharoen |
| Email: | tuchsanai.plo@siam.edu |
| Department|Faculty: | Department of Electrical Engineering, Faculty of Engineering, Siam University, Bangkok 10160 |
| Published: | 2017 14th International Conference on Electrical Engineering/Electronics, Computer, Telecommunications and Information Technology (ECTI-CON), IEEE, 27-30 June 2017 Phuket, Thailand |
Citation
Ploysuwan T., & Chaisricharoen R. (2017). Gaussian process kernel crossover for automated forex trading system. In 2017 14th International Conference on Electrical Engineering/Electronics, Computer, Telecommunications and Information Technology (ECTI-CON) (pp. 802-805). IEEE. doi: 10.1109/ECTICon.2017.8096360.
ABSTRACT
Due to time varying volatility of forex financial time series price data, the traditional technical analysis such as simple moving average (SMA) and exponential moving average (EMA) cannot capture the dynamic time varying in the market. The combination of Gaussian Process kernel framework and classical trendline crossover strategy is proposed with new objective function for optimization trading performance. The experimental results demonstrate better trading performance for both price prediction and accumulated profit return.
Keywords : Gaussian Process Kernel, Forex, Automated trading.
Gaussian Process Kernel Crossover for Automated Forex Trading System
คณะวิศวกรรมศาสตร์ มหาวิทยาลัยสยาม | Faculty of Engineering, Siam University, Bangkok, Thailand