A Step-By-Step Implementation of a Hybrid USD/JPY Trading Agent

A Step-By-Step Implementation of a Hybrid USD/JPY Trading Agent

Rui Pedro Barbosa (University of Minho, Portugal) and Orlando Belo (University of Minho, Portugal)
Copyright: © 2009 |Pages: 17
DOI: 10.4018/jats.2009040102
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Abstract

In this article we describe the step-by-step implementation of an agent that can trade the USD/JPY currency pair using a 6 hours timeframe. The agent is capable of trading autonomously due to its ability to handle money management and to decide when to buy or sell the currency pair. Its implementation consists of a prediction mechanism, which it uses to forecast the direction of the price, and a risk management system, which enables it to make decisions regarding how much to invest in each trade and when to avoid trading. We present several alternatives for the price prediction mechanism, from using a standalone classification or regression model to using an ensemble with fixed or dynamic vote weights. The agent performed simulated trades over a period of 17 months, and obtained a return of around 50% using low leverage and after taking into account the trading costs.

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