Project background:

This repository includes my own research and code about using genentic programming to search for profitable trading rules. This project is also a fulfilment for my degree Master of Applied Econometrics thesis.

Available resources in this repository:

• Implementation instruction
• Genetic programming introduction

Program

It contains seven files.

• first_phase_GP_setp.R and second_phase_GP_setup.R are the two files that you need to run to obtain the trading rules.
• Double_Evolution_GP_backend.R is the backend function support this program, do not open it unless you want to edit the source code.
• train2_fit.rds and train2_rules.rds are my pre-searched trading rules for my research.
• GP_visulisation.R helps you to visualise the performance of selected trading rules.
• USDJPY1440.csv is the exchange rate data I used for my thesis, which is downloaded from MetaTrader 4. It is recommended that you download exchange rate data from this platform so it matches the input requirement. It works for different foreign exchange rates and frequencies.

Program information

• current version: 1.0
• recent update time: 18/12/2018

Declaration

This program is for research purpose only. I do not take any responsibility that you made by using this program for real-world trading. Please do not sue me as I do not have money.

Reference

• Riccardo Poli, William B. Langdon, and Nicholas Freitag McPhee. 2008. A Field Guide to Genetic Programming. Lulu Enterprises, UK Ltd.