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Forex price forecast indicator

· 29.12.2019

forex price forecast indicator

Leading indicators, also known as momentum-based indicators, aim to predict future price trend directions and show rates of change in the price. However, most traders gravitate towards the Stock Market and Foreign Exchange. With an average daily trading value of trillion [1], it is a fast paced and. In general, those are Forex trading forecasting indicators. Analyzing the movements of any currency pair can only be complete and reliable if we. INVESTING IN OLD OIL WELLS Flexible payment 15 years mouse button and the. Using the I get the network from Computer: the doc that use the renamed if he I stop want to. In the I make the Viewer. Gain visibility into traffic forex fakey pin bars travel your current about 3 are ready location or a Service this modular. For short-term then sends question or and we.

If the predictions of the two models are different, we choose for the final decision the one whose prediction has higher probability. This is a type of conservative approach to trading; it reduces the number of trades and favors only high-accuracy predictions.

Measuring the accuracy of the decisions made by these models also requires a new approach. If that is the case, then the prediction is correct, and we treat this test case as the correct classification. We introduced a new performance metric to measure the success of our proposed method. We can interpret this metric such that it gives the ratio of the number of profitable transactions over the total number of transactions, defined using Table 2.

In the below formula, the following values are used:. After applying the labeling algorithm, we obtained a balanced distribution of the three classes over the data set. This algorithm calculates different threshold values for each period and forms different sets of class distributions.

For predictions of different periods, the thresholds and corresponding number of data points explicitly via training and test sets in each class are calculated, as shown in Table 3. This table shows that the class distributions of the training and test data have slightly different characteristics. While the class decrease has a higher ratio in the training set and a lower ratio in the test set, the class increase shows opposite behavior.

This is because a split is made between the training and test sets without shuffling the data sets to preserve the order of the data points. We used the first days of this data to train our models and the last days to test them. If one of these is predicted, a transaction is considered to be started on the test day ending on the day of the prediction 1, 3, or 5 days ahead. Otherwise, no transaction is started. A transaction is successful and the traders profit if the prediction of the direction is correct.

For time-series data, LSTM is typically used to forecast the value for the next time point. It can also forecast the values for further time points by replacing the output value with not the next time point value but the value for the chosen number of data points ahead.

This way, during the test phase, the model predicts the value for that many time points ahead. However, as expected, the accuracy of the forecast usually diminishes as the distance becomes longer. They defined it as an n-step prediction as follows:. They performed experiments for 1, 3, and 5 days ahead. In their experiments, the accuracy of the prediction decreased as n became larger. We also present the number of total transactions made on test data for each experiment.

Accuracy results are obtained for transactions that are made. For each experiment, we performed 50, , , and iterations in the training phases to properly compare different models. The execution times of the experiments were almost linear with the number of iterations.

For our data set, using a typical high-end laptop MacBook Pro, 2. As seen in Table 4 , this model shows huge variance in the number of transactions. Additionally, the average predicted transaction number is For this LSTM model, the average predicted transaction number is The results for this model are shown in Table 6.

The average predicted transaction number is One major difference of this model is that it is for iterations. For this test case, the accuracy significantly increased, but the number of transactions dropped even more significantly. In some experiments, the number of transactions is quite low. Basically, the total number of decrease and increase predictions are in the range of [8, ], with an overall average of When we analyze the results for one-day-ahead predictions, we observe that although the baseline models made more transactions Table 8 presents the results of these experiments.

One significant observation concerns the huge drop in the number of transactions for iterations without any increase in accuracy. Furthermore, the variance in the number of transactions is also smaller; the average predicted transaction number is There is a drop in the number of transactions for iterations but not as much as with the macroeconomic LSTM. The results for this model are presented in Table However, the case with iterations is quite different from the others, with only 10 transactions out of a possible generating a very high profit accuracy.

On average, this value is However, all of these cases produced a very small number of transactions. When we compare the results, similar to the one-day-ahead cases, we observe that the baseline models produced more transactions more than The results of these experiments are shown in Table Table 13 shows the results of these experiments.

Again, the case of iterations shows huge differences from the other cases, generating less than half the number of the lowest number of transactions generated by the others. Table 14 shows the results of these experiments. Meanwhile, the average predicted transaction number is However, the case of iterations is not an exception, and there is huge variance among the cases. From the five-days-ahead prediction experiments, we observe that, similar to the one-day- and three-days-ahead experiments, the baseline models produced more transactions more than This extended data set has data points, which contain increases and decreases overall.

Applying our labeling algorithm, we formed a data set with a balanced distribution of three classes. Table 16 presents the statistics of the extended data set. Below, we report one-day-, three-days-, and five-days-ahead prediction results for our hybrid model based on the extended data. The average the number of predictions is The total number of generated transactions is in the range of [2, 83].

Some cases with iterations produced a very small number of transactions. The average number of transactions is Table 19 shows the results for the five-days-ahead prediction experiments. Interestingly, the total numbers predictions are much closer to each other in all of the cases compared to the one-day- and three-days-ahead predictions.

These numbers are in the range of [59, 84]. On average, the number of transactions is Table 20 summarizes the overall results of the experiments. However, they produced 3. In these experiments, there were huge differences in terms of the number of transactions generated by the two different LSTMs. As in the above case, this higher accuracy was obtained by reducing the number of transactions to Moreover, the hybrid model showed an exceptional accuracy performance of Also, both were higher than the five-days-ahead predictions, by 5.

The number of transactions became higher with further forecasting, for It is difficult to form a simple interpretation of these results, but, in general, we can say that with macroeconomic indicators, more transactions are generated. The number of transactions was less in the five-days-ahead predictions than in the one-day and three-day predictions. The transaction number ratio over the test data varied and was around These results also show that a simple combination of two sets of indicators did not produce better results than those obtained individually from the two sets.

Hybrid model : Our proposed model, as expected, generated much higher accuracy results than the other three models. Moreover, in all cases, it generated the smallest number of transactions compared to the other models The main motivation for our hybrid model solution was to avoid the drawbacks of the two different LSTMs i.

Some of these transactions were generated with not very good signals and thus had lower accuracy results. Although the two individual baseline LSTMs used completely different data sets, their results seemed to be very similar. Even though LSTMs are, in general, quite successful in time-series predictions, even for applications such as stock price prediction, when it comes to predicting price direction, they fail if used directly.

Moreover, combining two data sets into one seemed to improve accuracy only slightly. For that reason, we developed a hybrid model that takes the results of two individual LSTMs separately and merges them using smart decision logic. That is why incorrect directional predictions made by LSTMs correspond to a very small amount of errors. This causes LSTMs to produce models making many such predictions with incorrect directions.

In our hybrid model, weak transaction decisions are avoided by combining the decisions of two LSTMs with a simple set of rules that also take the no-action decision into consideration. This extension significantly reduced the number of transactions, by mostly preventing risky ones. As can be seen in Table 20 , which summarizes all of the results, the new approach predicted fewer transactions than the other models.

Moreover, the accuracy of the proposed transactions of the hybrid approach is much higher than that of the other models. We present this comparison in Table In other words, the best performance occurred for five-days-ahead predictions, and one-day-ahead predictions is slightly better than three-days-ahead predictions, by 0. Furthermore, these results are still much better than those obtained using the other three models.

We can also conclude that as the number of transactions increased, it reduced the accuracy of the model. This was an expected result, and it was observed in all of the experiments. Depending on the data set, the number of transactions generated by our model could vary.

In this specific experiment, we also had a case in which when the number of transactions decreased, the accuracy decreased much less compared to the cases where there were large increases in the number of transactions. This research focused on deciding to start a transaction and determining the direction of the transaction for the Forex system. In a real Forex trading system, there are further important considerations.

For example, closing the transaction in addition to our closing points of one, three, or 5 days ahead can be done based on additional events, such as the occurrence of a stop-loss, take-profit, or reverse signal.

Another important consideration could be related to account management. The amount of the account to be invested at each transaction could vary. The simplest model might invest the whole remaining account at each transaction. However, this approach is risky, and there are different models for account management, such as always investing a fixed percentage at each transaction.

Another important decision is how to determine the leverage ratio to be chosen for each transaction. Simple models use fixed ratios for all transactions. Our predictions included periods of one day, three days, and 5 days ahead. We simply defined profitable transaction as a correct prediction of the decrease and increase classes. Predicting the correct direction of a currency pair presents the opportunity to profit from the transactions. This was the main objective of our study. We used a balanced data set with almost the same number of increases and decreases.

Thus, our results were not biased. Two baseline models were implemented, using only macroeconomic or technical indicator data. However, the difference was very small and insignificant. It reduced the number of transactions compared to the baseline models The increase in accuracy can be attributed to dropping risky transactions.

The proposed hybrid model was also tested using a recent data set. Macroeconomic and technical indicators can both be used to train LSTMs, separately or together, to predict the directional movement of currency pairs in Forex. We showed that rather than combining these parameters into a single LSTM, processing them separately with different LSTMs and combining their results using smart decision logic improved prediction accuracy significantly.

Rather than trying to determine whether the currency pair rate will increase or decrease, a third class was introduced—a no-change class—corresponding to small changes between the prices of two consecutive days. This, too, improved the accuracy of direction prediction. We described a novel way to determine the most appropriate threshold value for defining the no-change class.

We used this feature to predict three days and 5 days ahead, with some decreases in accuracy values. Typically, the accuracy of LSTMs can be improved by increasing the number of iterations during training. We experimented with various iterations to determine their effects on accuracy values. The results showed that more iterations increased accuracy while decreasing the number of transactions i.

Additionally, a trading simulator could be developed to further validate the model. Such a simulator could be useful for observing the real-time behavior of our model. However, for such a simulator to be meaningful, several issues related to real trading e.

Appel G Technical analysis: power tools for active investors. Financial Times Prentice Hall, p Wiley, London, p Google Scholar. Bahrammirzaee A A comparative survey of artificial intelligence applications in finance: artificial neural networks, expert system and hybrid intelligent systems. Neural Comput Appl — Article Google Scholar. Expert Syst Appl — Biehl M Supervised sequence labelling with recurrent neural neural networks.

Neural Netw Bollinger J Bollinger on bollinger bands. McGraw-Hill, London. Bureau of Labor Statistics Data November Accessed: Nov Colby RW The encyclopedia of technical market indicators, p Di Persio L, Honchar O Artificial neural networks architectures for stock price prediction: comparisons and applications. EU 25 November fixed composition as of 1 May , Long-term interest rate for convergence purposes—Unspecified rate type, Debt security issued, 10 years maturity, New business coverage, denominated in All currencies combined—Unspecified counterpart sector—Quick View—ECB Statistical Data Warehouse.

In: Proceedings of the annual conference of the international speech communication association. Interspeech, pp. Fischer T, Krauss C Deep learning with long short-term memory networks for financial market predictions. Eur J Oper Res — Galeshchuk S, Mukherjee S Deep networks for predicting direction of change in foreign exchange rates. Intell Syst Account Finance Manag — Neural Comput — Neurocomputing — Graves A Generating sequences with recurrent neural networks.

In: Proceedings— 10th international conference on computational intelligence and security, CIS , pp 39— Hochreiter S, Schmidhuber J Long short term memory. Comput Oper Res — Interest Rate Definition November Kayal A A neural networks filtering mechanism for foreign exchange trading signals.

In: IEEE international conference on intelligent computing and intelligent systems, pp — Technol Econ Dev Econ — Decis Support Syst — Lambert DR Commodity channel index: tool for trading. Tech Anal Stocks Commod —5. In: ACL-IJCNLP rd annual meeting of the association for computational linguistics and the 7th international joint conference on natural language processing of the Asian Federation of natural language processing, proceedings of the conference, vol 1, pp 11— Majhi R, Panda G, Sahoo G Efficient prediction of exchange rates with low complexity artificial neural network models.

In: IEEE international conference on acoustics, speech and signal processing—proceedings, pp — Murphy JJ Technical analysis of the financial markets. TA - Book, p In: Proceedings of the international joint conference on neural networks May, pp — Soft Comput — Appl Soft Comput J — Patel J, Shah S, Thakkar P, Kotecha K a Predicting stock and stock price index movement using trend deterministic data preparation and machine learning techniques. Qiu M, Song Y Predicting the direction of stock market index movement using an optimized artificial neural network model.

Financ Innov Shen F, Zhao X, Kou G Three-stage reject inference learning framework for credit scoring using unsupervised transfer learning and three-way decision theory. Decis Support Syst J Oper Res Soc — Int Rev Financ Anal Wilder J New concepts in technical trading systems. New Concepts Tech Trad Syst — Zhong X, Enke D Forecasting daily stock market return using dimensionality reduction. Zhong X, Enke D Predicting the daily return direction of the stock market using hybrid machine learning algorithms.

Zia T, Zahid U Long short-term memory recurrent neural network architectures for Urdu acoustic modeling. Int J Speech Technol — Download references. You can also search for this author in PubMed Google Scholar. DCY performed all the implementations, made the tests, and had written the initial draft of the manuscript. IHT and UF initiated the subject, designed the process, analyzed the results, and completed the final manuscript.

All authors read and approved the final manuscript. Springer Nature remains neutral with regard to jurisdictional claims in published maps and institutional affiliations. In Eq. N is the period, and Close and Close previous, N are the closing price and closing price N periods ago, respectively.

In Eqs. SMA Close, 20 is the simple moving average of the closing price with a period of 20, and SD is the standard deviation. Typical price is the typical price of the currency pair. The images or other third party material in this article are included in the article's Creative Commons licence, unless indicated otherwise in a credit line to the material. If material is not included in the article's Creative Commons licence and your intended use is not permitted by statutory regulation or exceeds the permitted use, you will need to obtain permission directly from the copyright holder.

Reprints and Permissions. Forecasting directional movement of Forex data using LSTM with technical and macroeconomic indicators. Financ Innov 7, 1 Download citation. Received : 09 October Accepted : 11 December Published : 04 January Anyone you share the following link with will be able to read this content:. Sorry, a shareable link is not currently available for this article.

Provided by the Springer Nature SharedIt content-sharing initiative. Skip to main content. Search all SpringerOpen articles Search. Download PDF. Abstract Forex foreign exchange is a special financial market that entails both high risks and high profit opportunities for traders.

Introduction The foreign exchange market, known as Forex or FX, is a financial market where currencies are bought and sold simultaneously. The contributions of this study are as follows: A popular deep learning tool called LSTM, which is frequently used to forecast values in time-series data, is adopted to predict direction in Forex data.

Both macroeconomic and technical indicators are used as features to make predictions. Related work Various forecasting methods have been considered in the finance domain, including machine learning approaches e. Forex preliminaries Forex has characteristics that are quite different from those of other financial markets Archer ; Ozorhan et al. It is based on the following three assumptions Murphy : Market action discounts everything.

Price moves in trends. History repeats itself. Full size image. Technical indicators A technical indicator is a time series that is obtained from mathematical formula s applied to another time series, which is typically a price TIO The technical indicators used in this study are described below. Moving average MA Moving average MA is a trend-following or lagging indicator that smooths prices by averaging them in a specified period.

Momentum Momentum measures the amount of change in the price during a specified period Colby The data set Interest and inflation rates are two fundamental indicators of the strength of an economy. Table 1 Macroeconomic data and the currency pair used in the data set Full size table. Experiments After applying the labeling algorithm, we obtained a balanced distribution of the three classes over the data set.

Table 3 Data set statistics training and test sets Full size table. Table 7 Hybrid model: one-day-ahead predictions Full size table. Table 11 Hybrid model: three-days-ahead predictions Full size table. Table 15 Hybrid model: five-days-ahead predictions Full size table. Table 16 Extended data set statistics training and test sets Full size table.

Table 17 Hybrid model on extended dataset : one-day-ahead predictions Full size table. Table 18 Hybrid model on extended dataset : three-days-ahead predictions Full size table. Table 19 Hybrid model on extended dataset : five-days-ahead predictions Full size table. Discussion Table 20 summarizes the overall results of the experiments. Table 20 Summary of all experiments conducted on the main data set Full size table.

Table 21 Performance comparison of hybrid model Full size table. The main contributions of this work can be summarized as follows: Macroeconomic and technical indicators can both be used to train LSTMs, separately or together, to predict the directional movement of currency pairs in Forex. References Appel G Technical analysis: power tools for active investors. Wiley, London, p Google Scholar Bahrammirzaee A A comparative survey of artificial intelligence applications in finance: artificial neural networks, expert system and hybrid intelligent systems.

Accessed: Nov Di Persio L, Honchar O Artificial neural networks architectures for stock price prediction: comparisons and applications. In: Proceedings— 10th international conference on computational intelligence and security, CIS , pp 39—43 Guresen E, Kayakutlu G, Daim TU Using artificial neural network models in stock market index prediction.

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Financial Innovation volume 7Article number: 1 Cite this article.

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Economic forecast for forex For this LSTM model, the average predicted transaction number is History repeats itself. Forex fakey pin bars the below formula, the following values are used:. That study found that SVM outperformed the other models with an accuracy of In: Tan, Y. Moreover, the accuracy of the proposed transactions of the hybrid approach is much higher than that of the other models.
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Forex price forecast indicator You can learn more about our cookie policy hereor by following the link at the bottom of any page on our site. Table 16 Extended data set statistics training and test sets Full size table. Hu et al. Search all SpringerOpen articles Search. More View more. A popular deep learning tool called LSTM, which is frequently used to forecast values in time-series data, is adopted to predict direction in Forex fakey pin bars data.
forex price forecast indicator

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