Evolutionary Approach to Forex Expert Advisor Generation

Abstract

We have developed a genetic algorithm approach for automatically generating expert advisors, computer programs that trade automatically in the financial markets. Our system, known as GenFx or Genetic Forex, evaluates evolutionarily generated expert advisors strategies using pre-determined fitness functions to automatically prioritize parents for breeding. GenFx simulates several key factors in natural selection. It employs a multiple generation breeding population, a notion of gender, and the concept of aging to maintain diversity while providing many breeding opportunities to highly successful offspring. The approach is also especially efficient running in a multiple processor, multiple selection-strategy mode using multiple settings. We found out that a multi-processor gender-based running of the system outperformed all single runs of the system. This system is inspired by GenShade, a previous system that we have developed for evolutionary generating procedural textures. The methods described in this paper are not limited to the Forex market or financial problems only but are applicable to many other fields.