The optimization of technical trading strategy using genetic algorithm approach / Khairunnisa Musa

Musa, Khairunnisa (2006) The optimization of technical trading strategy using genetic algorithm approach / Khairunnisa Musa. Degree thesis, Universiti Teknologi MARA.

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Abstract

Recently, the use of genetic algorithm for the optimization of technical trading
strategies has been receiving a great deal of attention. A technical trading strategy
involves the study of past behavior in order to draw conclusions concerning the
direction and magnitude of future price movement. Technical models are designed to
keep investor trading with the trend. Understanding the best trend could produce a
promising lucrative investment. This research is about an application of technical
trading strategy to foreign exchange market by using Standard Genetic Algorithm
(STDGA). Genetic algorithm is used as a tool to efficiently search for the most
attractive solution as a suggestion for the trader to trade in foreign currencies. Results
from the function optimization shows that STDGA is effective and efficient in locating
the optimal solution (the maximum value of the Sharpe Ratio).
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Item Type: Thesis (Degree)
Creators:
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Musa, Khairunnisa
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Subjects: Q Science > QA Mathematics > Instruments and machines > Electronic Computers. Computer Science
T Technology > T Technology (General)
Divisions: Universiti Teknologi MARA, Shah Alam > Faculty of Computer and Mathematical Sciences
Item ID: 1520
URI: https://ir.uitm.edu.my/id/eprint/1520

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