Exploring Evaluation Factors and Framework for the Object of Automated Trading System

Automated trading system (ATS) is a computer program that combines different trading rules to find optimal trading opportunities. The objects of ATS, which are financial assets, need evaluation because that is of great significance for stakeholders and market orders. From the perspectives of dealers, agents, external environment, and objects themselves, this study explored factors in evaluating and choosing the object of ATS. Based on design science research (DSR), we presented a preliminary evaluation framework and conducted semi-structured interviews with twelve trading participants engaged in different occupations. By analyzing the data collected, we validated eight factors from literatures and found four new factors and fifty-four sub-factors. Additionally, this paper developed a relationship model of factors. The results could be used in future work to explore and validate more evaluation factors by using data mining

A stacked generalization system for automated FOREX portfolio trading

Multiple FOREX time series forecasting is a hot research topic in the literature of portfolio trading. To this end, a large variety of machine learning algorithms have been examined. However, it is now widely understood that, in real-world trading settings, no single machine learning model can consistently outperform the alternatives. In this work, we examine the efficacy and the feasibility of developing a stacked generalization system, intelligently combining the predictions of diverse machine learning models. Our approach establishes a novel inferential framework that comprises the following levels of data processing: (i) We model the dependence patterns between major currency pairs via a diverse set of commonly used machine learning algorithms, namely support vector machines (SVMs), random forests (RFs), Bayesian autoregressive trees (BART), dense-layer neural networks (NNs), and naive Bayes (NB) classifiers. (ii) We generate implied signals of exchange rate fluctuation, based on the output of these models, as well as appropriate side information obtained by analyzing the correlations across currency pairs in our training datasets. (iii) We finally combine these implied signals into an aggregate predictive waveforth, by leveraging majority voting, genetic algorithm optimization, and regression weighting techniques. We thoroughly test our framework in real-world trading scenarios; we show that our system leads to significantly better trading performance than the considered benchmarks. Thus, it represents an attractive solution for financial firms and corporations that perform foreign exchange portfolio management and daily trading. Our system can be used as an integrated part in international commercial trade activities or in a quantitative investing framework for algorithmic trading and carry-trade speculation