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- W2016303713 abstract "This paper examines two transactional strategies based on the classifier which opens positions using some rules and closes them using different rules. A rule set contains time-varying parameters that when matched allow making an investment decision. Researches contain the study of variability of these parameters and the relationship between learning period and testing (using the learned parameters). The strategies are evaluated based on the time series of cumulative profit achieved in the test periods. The study was conducted on the most popular currency pair EURUSD (Euro-Dollar) sampled with interval of 1 hour. An important contribution to the theory of algotrading resulting from presented research is specification of the parameter space (quite large, consisting of 11 parameters) that achieves very good results using cross validation." @default.
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- W2016303713 date "2014-02-03" @default.
- W2016303713 modified "2023-09-27" @default.
- W2016303713 title "Study on the Effectiveness of the Investment Strategy Based on a Classifier with Rules Adapted by Machine Learning" @default.
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- W2016303713 doi "https://doi.org/10.1155/2014/451849" @default.
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