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FOREX Trades: Can the Takens Algorithm Help to Obtain Steady Profit at Investment Reallocations?


Petrov, Vladimir Y; Tribelsky, M I (2015). FOREX Trades: Can the Takens Algorithm Help to Obtain Steady Profit at Investment Reallocations? JETP Letters, 102(12):841-844.

Abstract

We report our preliminary results of application of the Takens algorithm to build a FOREX trade strategy, resulting in a steady long-time gain for a trader. The actual historical rates for pair EUR vs. USD are used. The values of various parameters of the problem including the “stop loss” and “take profit” thresholds are optimized to provide the maximal gain during the training period. Then, these values are employed for trades. We have succeeded to get the steady gain, if the spread is neglected. It proves that the FOREX market is predictable.

Abstract

We report our preliminary results of application of the Takens algorithm to build a FOREX trade strategy, resulting in a steady long-time gain for a trader. The actual historical rates for pair EUR vs. USD are used. The values of various parameters of the problem including the “stop loss” and “take profit” thresholds are optimized to provide the maximal gain during the training period. Then, these values are employed for trades. We have succeeded to get the steady gain, if the spread is neglected. It proves that the FOREX market is predictable.

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Additional indexing

Item Type:Journal Article, refereed, original work
Communities & Collections:03 Faculty of Economics > Department of Banking and Finance
Dewey Decimal Classification:330 Economics
Scopus Subject Areas:Physical Sciences > Physics and Astronomy (miscellaneous)
Language:English
Date:1 December 2015
Deposited On:14 Apr 2020 07:29
Last Modified:31 Jul 2020 03:50
Publisher:Springer
ISSN:0021-3640
OA Status:Closed
Publisher DOI:https://doi.org/10.1134/S002136401524008X
Official URL:https://link.springer.com/article/10.1134/S002136401524008X
Other Identification Number:merlin-id:17792

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