TITLE:
Evolutionary Approach to Forex Expert Advisor Generation
AUTHORS:
Alaa Eldin M. Ibrahim
KEYWORDS:
Genetic Algorithms, Forex, Expert Advisors, Trading Strategy
JOURNAL NAME:
Intelligent Information Management,
Vol.6 No.3,
May
20,
2014
ABSTRACT: We have developed a
genetic algorithm approach for automatically generating expert advisors,
computer programs that trade automatically in the financial markets. Our
system, known as GenFx or Genetic Forex, evaluates evolutionarily generated
expert advisors strategies using predetermined fitness functions to
automatically prioritize parents for breeding. GenFx simulates several key
factors in natural selection. It employs a multiple generation breeding
population, a notion of gender, and the concept of aging to maintain diversity
while providing many breeding opportunities to highly successful offspring. The
approach is also especially efficient running in a multiple processor, multiple
selection-strategy mode using multiple settings. We found out that a
multi-processor gender-based running of the system outperformed all single runs
of the system. This system is inspired by GenShade, a previous system that we
have developed for evolutionary generating procedural textures. The methods
described in this paper are not limited to the Forex market or financial
problems only but are applicable to many other fields.