Intelligent agents, with their ability to act autonomously and to adapt and interact with the environment, seem like an obvious choice for the development of automated trading systems.
The aim of this article is to analyze how well intelligent agents suit this task. We implemented a set of autonomous currency trading agents, using an architecture that consists of an ensemble of classification and regression models, a case-based reasoning system and an expert system.
A total of six trading agents were implemented, each being responsible for trading one of the following currency pair in the Forex market: The agents simulated trades over a period of 23 months, having all achieved a reasonable profit trading independently. However, their strategies resulted in relatively high drawdows. In order to decrease the risk inherent to these high drawdowns, the same simulation was performed while making the agents share the monetary resources. As expected, this strategy of investment diversification originated better results.
Still, when the trading costs were taken into consideration, the overall trading performance was less than impressive. That was due to the fact that each agent performed too many trades, and the cost associated with the trading commissions became prohibitively high. We were able to lessen the impact of the trading costs in the total profit by integrating the agents in a multi-agent system, in which the agents communicated with each other before opening new trades.
This allowed them to calculate the intended exposure to the market, which in turn enabled them to avoid redundant trades. Under simulation and using low leverage, this multi-agent system obtained a Unable to display preview. Multi-Agent Forex Trading System. Stock market prediction system with modular neural networks. Forecasting exchange rates using neural networks for technical trading rules.
Stock movement prediction and N-dimensional inter-transaction association rules. Linear, non-linear and essential foreign exchange rate prediction with simple technical trading rules.