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

Marco Fisichella; Filippo Garolla

doi:10.1109/ACCESS.2021.3127570

Details

Original language	English
Pages (from-to)	153083-153101
Number of pages	19
Journal	IEEE ACCESS
Volume	9
Publication status	Published - 11 Nov 2021

Abstract

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.

Keywords

expert advisor, Forex, genetic algorithm, metatrader, technical analysis, technical indicators, trading rules, trading system

ASJC Scopus subject areas

Computer Science(all)
General Computer Science
Materials Science(all)
General Materials Science
Engineering(all)
General Engineering
Engineering(all)
Electrical and Electronic Engineering

Cite this

Can Deep Learning Improve Technical Analysis of Forex Data to Predict Future Price Movements? / Fisichella, Marco; Garolla, Filippo.
In: IEEE ACCESS, Vol. 9, 11.11.2021, p. 153083-153101.

Research output: Contribution to journal › Article › Research › peer review

Fisichella, M & Garolla, F 2021, 'Can Deep Learning Improve Technical Analysis of Forex Data to Predict Future Price Movements?', IEEE ACCESS, vol. 9, pp. 153083-153101. https://doi.org/10.1109/ACCESS.2021.3127570

Fisichella, M., & Garolla, F. (2021). Can Deep Learning Improve Technical Analysis of Forex Data to Predict Future Price Movements? IEEE ACCESS, 9, 153083-153101. https://doi.org/10.1109/ACCESS.2021.3127570

Fisichella M, Garolla F. Can Deep Learning Improve Technical Analysis of Forex Data to Predict Future Price Movements? IEEE ACCESS. 2021 Nov 11;9:153083-153101. doi: 10.1109/ACCESS.2021.3127570

Fisichella, Marco ; Garolla, Filippo. / Can Deep Learning Improve Technical Analysis of Forex Data to Predict Future Price Movements?. In: IEEE ACCESS. 2021 ; Vol. 9. pp. 153083-153101.

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@article{14a9e2f9dd2f4df1add26fabb4903900,

title = "Can Deep Learning Improve Technical Analysis of Forex Data to Predict Future Price Movements?",

abstract = "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.",

keywords = "expert advisor, Forex, genetic algorithm, metatrader, technical analysis, technical indicators, trading rules, trading system",

author = "Marco Fisichella and Filippo Garolla",

note = "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. ",

year = "2021",

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doi = "10.1109/ACCESS.2021.3127570",

language = "English",

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pages = "153083--153101",

journal = "IEEE ACCESS",

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