TY - JOUR

T1 - Can Deep Learning Improve Technical Analysis of Forex Data to Predict Future Price Movements?

AU - Fisichella, Marco

AU - Garolla, Filippo

N1 - Funding Information: This work was supported in part by the European Commission for the eXplainable Artificial Intelligence in healthcare Management (xAIM) Project under Grant INEA/CEF/ICT/A2020/2276680.

PY - 2021/11/11

Y1 - 2021/11/11

N2 - The foreign exchange market (Forex) is the world's largest market for trading foreign money, with a trading volume of over 5.1 trillion dollars per day. It is known to be very complicated and volatile. Technical analysis is the observation of past market movements with the aim of predicting future prices and dealing with the effects of market movements. A trading system is based on technical indicators derived from technical analysis. In our work, a complete trading system with a combination of trading rules on Forex time series data is developed and made available to the scientific community. The system is implemented in two phases: In the first phase, each trading rule, both the AI-based rule and the trading rules from the technical indicators, is tested for selection; in the second phase, profitable rules are selected among the qualified rules and combined. Training data is used in the training phase of the trading system. The proposed trading system was extensively trained and tested on historical data from 2010 to 2021. To determine the effectiveness of the proposed method, we also conducted experiments with datasets and methodologies used in recent work by Hernandez-Aguila et al., 2021 and by Munkhdalai et al., 2019. Our method outperforms all other methodologies for almost all Forex markets, with an average percentage gain of 20.2%. A particular focus was on training our AI-based rule with two different architectures: the first is a widely used convolutional network for image classification, i.e. ResNet50; the second is an attention-based network Vision Transformer (ViT). The results provide a clear answer to the main question that guided our research and which is the title of this paper.

AB - The foreign exchange market (Forex) is the world's largest market for trading foreign money, with a trading volume of over 5.1 trillion dollars per day. It is known to be very complicated and volatile. Technical analysis is the observation of past market movements with the aim of predicting future prices and dealing with the effects of market movements. A trading system is based on technical indicators derived from technical analysis. In our work, a complete trading system with a combination of trading rules on Forex time series data is developed and made available to the scientific community. The system is implemented in two phases: In the first phase, each trading rule, both the AI-based rule and the trading rules from the technical indicators, is tested for selection; in the second phase, profitable rules are selected among the qualified rules and combined. Training data is used in the training phase of the trading system. The proposed trading system was extensively trained and tested on historical data from 2010 to 2021. To determine the effectiveness of the proposed method, we also conducted experiments with datasets and methodologies used in recent work by Hernandez-Aguila et al., 2021 and by Munkhdalai et al., 2019. Our method outperforms all other methodologies for almost all Forex markets, with an average percentage gain of 20.2%. A particular focus was on training our AI-based rule with two different architectures: the first is a widely used convolutional network for image classification, i.e. ResNet50; the second is an attention-based network Vision Transformer (ViT). The results provide a clear answer to the main question that guided our research and which is the title of this paper.

KW - expert advisor

KW - Forex

KW - genetic algorithm

KW - metatrader

KW - technical analysis

KW - technical indicators

KW - trading rules

KW - trading system

UR - http://www.scopus.com/inward/record.url?scp=85119401557&partnerID=8YFLogxK

U2 - 10.1109/ACCESS.2021.3127570

DO - 10.1109/ACCESS.2021.3127570

M3 - Article

AN - SCOPUS:85119401557

VL - 9

SP - 153083

EP - 153101

JO - IEEE ACCESS

JF - IEEE ACCESS

SN - 2169-3536

ER -