進化計算手法に基づく外国為替の自動取引

抄録

In this paper, we proposed automated trading system using Genetic Algorithm(GA) and Genetic Programming(GP). There are many reports which focus on system trading. In recent years, these researches have attracted attention because of impact of finance crisis. Among them, we focus on two area, one is optimization of technical indicators, the other is optimization of technical indicators combination. There is not research which focuses on both parts. So we proposed automated trading system by optimizing indicators and combination of them. At first, their parameters are optimized by GA. Each indicator is fitted on movement of current market by this process. Then, using optimized indicators, combination of them is optimized by GP to generate buy-sell strategy. To verify effectiveness of proposal method, we simulated using real data given by Gaitame.com. Consequently, we got good result and verified effectiveness of proposal method.