Trading Strategy in the Forex Market based on Linear and Non-linear Machine Learning Algorithms

Nabil Mabrouk, Marouane Chihab, Younes Chihab

2021

Abstract

In this article, we have compared two Forex trading strategies based on different machine learning algorithms. We used an algorithm that generates technical indicators and technical rules. The technical indicators contain information that may explain the movement of the stock price. The generated data was fed to a machine-learning algorithm to learn and recognize price patterns. The first approach uses a linear classifier algorithm to classify data into two classes by a line or a hyperplane (BUY or SELL Signal); the second approach, unlike the first one, uses a non-linear classifier algorithm to predict the next day's stock movement. We have evaluated the model's performance by different metrics generally used for machine learning algorithms, another method used to profitability by comparing the strategy returns and the market returns.

Paper Citation

in Harvard Style

Mabrouk N., Chihab M. and Chihab Y. (2021). Trading Strategy in the Forex Market based on Linear and Non-linear Machine Learning Algorithms. In Proceedings of the 2nd International Conference on Big Data, Modelling and Machine Learning - Volume 1: BML, ISBN 978-989-758-559-3, pages 81-85. DOI: 10.5220/0010728800003101

in Bibtex Style

@conference{bml21,
author={Nabil Mabrouk and Marouane Chihab and Younes Chihab},
title={Trading Strategy in the Forex Market based on Linear and Non-linear Machine Learning Algorithms},
booktitle={Proceedings of the 2nd International Conference on Big Data, Modelling and Machine Learning - Volume 1: BML,},
year={2021},
pages={81-85},
publisher={SciTePress},
organization={INSTICC},
doi={10.5220/0010728800003101},
isbn={978-989-758-559-3},
}

in EndNote Style

TY - CONF

JO - Proceedings of the 2nd International Conference on Big Data, Modelling and Machine Learning - Volume 1: BML,
TI - Trading Strategy in the Forex Market based on Linear and Non-linear Machine Learning Algorithms
SN - 978-989-758-559-3
AU - Mabrouk N.
AU - Chihab M.
AU - Chihab Y.
PY - 2021
SP - 81
EP - 85
DO - 10.5220/0010728800003101