GitHub - AuroraLiu3230/MSc-Individual-Project: This study proposes a new Forex trading method by combining Genetic Algorithms (GAs) and Directional Change (DC) strategies. The synergy improves trading results through better adaptation to market volatility. · GitHub

Name		Name	Last commit message	Last commit date
Latest commit History 2 Commits
Backtest		Backtest
DC		DC
Data_Process		Data_Process
Experiment		Experiment
GA		GA
Strategy		Strategy
.DS_Store		.DS_Store
HsiaoChingLiu_21163313_Carmine_FinalReport_2022_23.pdf		HsiaoChingLiu_21163313_Carmine_FinalReport_2022_23.pdf
backtesting.py		backtesting.py
calc_r.py		calc_r.py
engine.py		engine.py
readme.md		readme.md

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Contents Backtest/

fitness.py: Evaluates trade performance to calculate fitness score for GA
trade.py: Executes backtesting for a trading strategy

Data_Process/

Data cleaning scripts for preparing FX data

DC/

DC_Transformer.py: Transforms time series data to intrinsic time series

GA/

Genetic algorithm components, operators, and engine

Strategy/

Implementations of various trading strategies, including benchmarks

Experiment/

Output logs from experiments

Usage

Use calc_r.py to estimate r ratios for dataset and thresholds
Run engine.py to find optimal parameters for DC strategies via GA
Run backtesting.py to backtest optimized strategies on data

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This study proposes a new Forex trading method by combining Genetic Algorithms (GAs) and Directional Change (DC) strategies. The synergy improves trading results through better adaptation to market volatility.

youtu.be/47q2HMUFyEw

genetic-algorithm directional-changes

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