Building automated trading systems has long been one of the most cutting-edge and exciting fields in the financial industry. In this research project, we built a trading system based on machine learning methods. We used the Recurrent Reinforcement Learning (RRL) algorithm as our fundamental algorithm, and by introducing Genetic Algorithms (GA) in the optimization procedure, we tackled the problems of picking good initial values of parameters and dynamically updating the learning speed in the original RRL algorithm. We call this optimization algorithm the Evolutionary Recurrent Reinforcement Learning algorithm (ERRL), or the GA-RRL algorithm. ERRL allows us to find many local optimal solutions easier and faster than the original RRL algorithm. Finally, we implemented the GA-RRL system on EUR/USD at a 5-minute level, and the backtest performance showed that our GA-RRL system has potentially promising profitability. In future research we plan to introduce some risk control mechanism, implement the system on different markets and assets, and perform backtest at higher frequency level.

Creator

• Song, Yupu

Contributors

• Blais, Marcel Y.

Degree

• MS

Unit

• Mathematical Sciences

Publisher

• Worcester Polytechnic Institute

Language

• English

Identifier

• etd-050117-071501

Keyword

• Algorithmic Trading
• Machine Learning
• Genetic Algorithms
• Reinforcement Learning
• Foreign Exchange

Advisor

• Blais, Marcel Y.

Defense date

• 2017-05-01

Year

• 2017

Date created

• 2017-05-01

Resource type

• Report

Rights statement

• In Copyright

Last modified

• 2021-01-28