The Plan for Forex

September 14, 2009 | Posted by andrew

So here’s the plan for creating at least one successful trading strategy for forex :-

Strategy diagram

As you can see, I will be hosting the trading robots as Expert Advisors in MetaTrader. This makes a lot of sense because many brokers offer MetaTrader based integration so no further work is required to use these for demo and live trading. MetaTrader also has rich facilities for backtesting against historic data and for the automated optimisation of the input parameters.

All of the custom code is concerned with Genetic Programming and will be using Gambit Scheme as Scheme is the natural choice for this task.

The tasks are :-

1. Create a custom EA to extract the MetaTrader historic data into a CSV file that can be loaded into Scheme, Done
2. Pre-process the data and split it into 2 sets: a training set and a validation set, Done
3. Create the trading simulator. Actually this should just be a modification of my existing spread betting simulator, Done
4. Create the breeding and ranking module. Again this should be minor changes to my existing module, Done
5. Validation is basically assessing the algorithms against data that they haven’t been trained on – this is just rerunning the simulator with a different data set,
6. Recoding the winning algorithms in MQL4 (MetaTrader language) should be straightforward.
7. Backtesting in MetaTrader will hopefully confirm the results found in the validation stage,
8. Commence live trading on a demo account.

Hopefully by the time I’ve finished that enough of you will have clicked on the ad links on the this site so I’ll enough for a small deposit with one of the brokers and can commence trading for real.

Categories: Forex, Genetic Programming, MetaTrader, Scheme | Tags: | No Comments »