A Channeled Multilayer Perceptron as Multi-Modal Approach for Two Time-Frames Algo-Trading Strategy

Abstract

FOREX (Foreign Exchanges) is a 24H open market with an enormous daily volume. Most of the used Trading strategies, used individually, are not providing accurate signals. In this paper, we are proposing an automated trading strategy that fits random market behaviors. It is based on neural networks applying triple exponential weighted moving average (EMA) as a trend indicator, Bollinger bands as a volatility indicator, and stochastic RSI as a momentum reversal indicator to prevent false indications in a short time frame. This approach is based on trend, volatility, and momentum reversal patterns combined with a market adaptive and a distributed multi-layer perceptron (MLP). It is called channeled multi-layer perceptron (CMLP) that is a neural network using channels and routines trained by previous profit/loss earned by triple EMA crossover, Bollinger Bands, and Stochastic RSI signals. Instead of using classic computations and Back-propagation for adjusting MLP parameters, we established a channeled multi-layer perceptron inspired by a multi-modal learning approach where each group of modalities (Channel) has its That stands for a dynamic channel coefficient to produce a multi-processed feed-forward neural network that prevents uncertain trading signals depending on trend-volatility-momentum random patterns. CMLP has been compared to Multi-Modal GARCH-ARIMA and has proven its efficiency in unstable markets