Foreign exchange trading using a learning classifier system

Stone, Christopher; Bull, Larry

Abstract

We apply a simple Learning Classifier System to a foreign exchange trading problem. The performance of the Learning Classifier System is compared to that of a Genetic Programming approach from the literature. The simple Learning Classifier System is able to achieve a positive excess return in simulated trading, but results are not yet fully competitive because the Learning Classifier System trades too frequently. However, the Learning Classifier System approach shows potential because returns are obtained with no offline training and the technique is inherently adaptive, unlike many of the machine learning methods currently employed for financial trading. © 2008 Springer-Verlag Berlin Heidelberg.

• Journal Article Type: Article
• Publication Date: Jul 16, 2008
• Journal: Studies in Computational Intelligence
• Print ISSN: 1860-949X
• Publisher: Springer Verlag
• Peer Reviewed: Peer Reviewed
• Volume: 125
• Pages: 169-189
• DOI: https://doi.org/10.1007/978-3-540-78979-6_8
• Keywords: foreign exchange trading, learning classifier system
• Public URL: https://uwe-repository.worktribe.com/output/1022179
• Publisher URL: http://dx.doi.org/10.1007/978-3-540-78979-6_8