Algo-Trading Strategy for Intraweek Foreign Exchange Speculation Based on Random Forest and Probit Regression

<table class="fixed-width table-group" id="tab4"><tr><td><table class="table"><colgroup><col style="width:8.04em"/><col style="width:14.47em"/><col style="width:14.06em"/><col style="width:6.15em"/></colgroup><tr><td class="thead-hr" colspan="4"><hr/></td></tr><tr class="thead"><td class="align_left"> </td><td class="align_center">Number of daily  <br/>investments/119</td><td class="align_center">Number of positive investments</td><td class="align_center">Final results</td></tr><tr><td class="thead-hr" colspan="4"><hr/></td></tr><tr><td class="align_left">Probit</td><td class="align_center">72</td><td class="align_center">43</td><td class="align_center">-778$</td></tr><tr><td class="align_left">Random Forest</td><td class="align_center">74</td><td class="align_center">51</td><td class="align_center">2442$</td></tr><tr><td class="align_left">Proposed system</td><td class="align_center">63</td><td class="align_center">49</td><td class="align_center">4448$</td></tr><tr class="table-tr"><td colspan="4"><hr class="tbody-hr"/></td></tr></table></td></tr></table>

<div>USD/EUR investment results using Random Forest, Probit model, and the proposed system over 17 weeks.</div>

Applied Computational Intelligence and Soft Computing

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Table 4

Table 4: Algo-Trading Strategy for Intraweek Foreign Exchange Speculation Based on Random Forest and Probit Regression 