Weighted Genetic Network Programming を用いた外国為替証拠金取引戦略の構築

抄録

In recent years, research on stock trading and foreign exchange trading using technical analysis has been vigorously conducted. In the research on investment strategies using technical analysis, it is popular to construct trading strategies using deep reinforcement learning and neural networks. However, trading strategies constructed by these methods cannot be interpreted because they are not algorithms that take interpretability into account. Therefore, it is difficult to analyze the reasons for the actual trades. In this study, we propose a new algorithm, Weighted Genetic Network Programming, which is an improvement of Full Range Genetic Network Programming, one of the evolutionary computation methods. We propose a new algorithm, Weighted Genetic Network Programming, which is a modification of Full Range Genetic Network Programming, one of the evolutionary computation methods.