Booth Id:
SOFT064T
Category:
Year:
2015
Finalist Names:
Shalamanov, Marin
Vasilev, Vasil
Abstract:
Due to the dynamic and variable nature of the stock market, trading
strategies do have strong and weak periods. That requires periodic changes
in the strategy, which involves finding the best one for the latest period of
time by the technical analyzers.
The aim of the project is the development of an effective computer-based
approach to determination of а sufficiently good strategy for foreign exchange trading in given timeframe and currency pair.
For the realization of the aim of the project methods from the classical
technical analysis (indicators and trading strategies) are used, as well as
computer science methods such as genetic algorithms.
The created algorithm is tested on historical data for the exchange rates of
EUR/USD, USD/GBP and UAH/USD (ukrainian hryvnia) in the timeframe
from 2006 to 2014.
The analysis of the results shows that the algorithm behaves properly
both in periods of economic stability and crisis.
The results of the real-time tests on the platform Meta Trader conducted from the beggining of July 2014 until now show 7.9% increase of the assets in the account.
Keywords: genetic algorithm, stock market, foreign exchange, technical
analysis, algorithmic trading
Awards Won:
Fourth Award of $500