Empirical Study: Finding an Optimal Parameters in Collaboration with GridSearch and Windowing Trading Technique in FOREX

Authors

  • Notarista Magdalena Silaban Information System Management Department, BINUS Graduate Program – Jakarta, Indonesia
  • Tuga Mauritsius Information System Management, Bina Nusantara University – Jakarta, Indonesia

Keywords:

Average True Rage, Forex, GridSearch, Hyperparameter Tuning, Sliding Window Technique

Abstract

In the realm of finance, FOREX, also known as foreign exchange, is the act of exchanging currencies without the need for physical representation. The buying and selling of currencies are believed to provide benefits for certain individuals. Thanks to advanced technology and abundant data, people are attempting to develop various applications to predict the fluctuation of one currency against another in order to gain profits. In this study, the author employs a basic technical analysis approach, such as Average True Range (ATR) as to define stop loss level, and utilizes the sliding window technique, where certain parameters are modelled using Multiple Linear Regression (MLR) with related hyperparameters are estimated through GridSearch tuning, to minimize MSE. The aim of this research is to achieve a relatively high winning rate while considering the potential risks that traders may encounter.

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Published

15.08.2023

How to Cite

Silaban, N. M. ., & Mauritsius, T. . (2023). Empirical Study: Finding an Optimal Parameters in Collaboration with GridSearch and Windowing Trading Technique in FOREX. International Journal of Intelligent Systems and Applications in Engineering, 11(3), 620–627. Retrieved from https://ijisae.org/index.php/IJISAE/article/view/3264

Issue

Vol. 11 No. 3 (2023)

Section

Research Article

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