Academic research about trading
Optimal Step-wise Parameter Optimization of a FOREX Trading Strategy
1) Authors
- Alberto De Santis
(desantis@dis.uniroma1.it)
(Department of Computer, Control and Management Engineering, Universita' degli Studi di Roma "La Sapienza") - Umberto Dellepiane
(dellepiane@dis.uniroma1.it)
(Department of Computer, Control and Management Engineering, Universita' degli Studi di Roma "La Sapienza") - Stefano Lucidi
(lucidi@dis.uniroma1.it)
(Department of Computer, Control and Management Engineering, Universita' degli Studi di Roma "La Sapienza") - Stefania Renzi
(renzi@dis.uniroma1.it)
(Department of Computer, Control and Management Engineering, Universita' degli Studi di Roma "La Sapienza")
2) Publishing date
April 24, 2014
3) Abstract
The goal of trading simply consists in gaining profit by buying/selling a security: the difference between the entry and the exit price in a position determines the profit or loss of that trade. A trading strategy is used to identify proper conditions to trade a security. The role of optimization consists in finding the best conditions to start a trading maximizing the profit. In this general scenario, the strategy is trained on a chosen batch of data (training set) and applied on the next batch of data (trading set). Given a strategy, there are different issues to deal with, to obtain the best performances from the optimization. First of all, among all the parameters that define the strategy, it is important to identify and select the most relevant ones that become the optimization problem variables. In this way the problem complexity is reduced and the overfitting on the training set is avoided. Once the variables are chosen, the focus is on the time period used for the training and the trading sets. Accordingly, for any parameter, a proper box constraint is fixed taking into account the frequency of the given trading strategy (time scale, reactivity, etc.). Since the objective function is not defined in closed form but through an algorithm, the problem lies within the framework of black-box optimization.
4) Link
http://www.dis.uniroma1.it/~bibdis/RePEc/aeg/report/2014-06.pdf
Rodrigo,
Great topic.
One can find a lot of articles and thesis on WorldCat.org.
You can use the filter to select Thesis or Downloadable Articles only, for example:
http://www.worldcat.org/search?q=forex&qt=results_page#%2528x0%253Aartchap%2Bx4%253Adigital%2529format
Hello everybody,
I would like to open this topic to discuss academic research papers and articles about all aspects of trading.
When posting about the academic research, please don't forget to inform:
1) Authors
2) Publishing date
3) Abstract
4) Link to the paper / article
Finally, it would be interesting to post your opinion about the article and, most important, how could it be used inside expert advisors/indicators and MetaTrader 5.
I look forward to your contributions!
Regards,
Malacarne
Optimal Step-wise Parameter Optimization of a FOREX Trading Strategy
1) Authors
- Alberto De Santis
(desantis@dis.uniroma1.it)
(Department of Computer, Control and Management Engineering, Universita' degli Studi di Roma "La Sapienza") - Umberto Dellepiane
(dellepiane@dis.uniroma1.it)
(Department of Computer, Control and Management Engineering, Universita' degli Studi di Roma "La Sapienza") - Stefano Lucidi
(lucidi@dis.uniroma1.it)
(Department of Computer, Control and Management Engineering, Universita' degli Studi di Roma "La Sapienza") - Stefania Renzi
(renzi@dis.uniroma1.it)
(Department of Computer, Control and Management Engineering, Universita' degli Studi di Roma "La Sapienza")
2) Publishing date
April 24, 2014
3) Abstract
The goal of trading simply consists in gaining profit by buying/selling a security: the difference between the entry and the exit price in a position determines the profit or loss of that trade. A trading strategy is used to identify proper conditions to trade a security. The role of optimization consists in finding the best conditions to start a trading maximizing the profit. In this general scenario, the strategy is trained on a chosen batch of data (training set) and applied on the next batch of data (trading set). Given a strategy, there are different issues to deal with, to obtain the best performances from the optimization. First of all, among all the parameters that define the strategy, it is important to identify and select the most relevant ones that become the optimization problem variables. In this way the problem complexity is reduced and the overfitting on the training set is avoided. Once the variables are chosen, the focus is on the time period used for the training and the trading sets. Accordingly, for any parameter, a proper box constraint is fixed taking into account the frequency of the given trading strategy (time scale, reactivity, etc.). Since the objective function is not defined in closed form but through an algorithm, the problem lies within the framework of black-box optimization.
4) Link
http://www.dis.uniroma1.it/~bibdis/RePEc/aeg/report/2014-06.pdf
Parece interessante. O conjunto de regras dele é simples, não deve ser muito complicado de implementar. Fiquei bem curioso como deve ser o comportamento disso no wdol.
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Hello everybody,
I would like to open this topic to discuss academic research papers and articles about all aspects of trading.
When posting about the academic research, please don't forget to inform:
1) Authors
2) Publishing date
3) Abstract
4) Link to the paper / article
Finally, it would be interesting to post your opinion about the article and, most important, how could it be used inside expert advisors/indicators and MetaTrader 5.
I look forward to your contributions!
Regards,
Malacarne