Title :
Short-term foreign exchange rate trading based on the support/resistance level of Ichimoku Kinkohyo
Author :
Shangkun Deng ; Sakurai, Akito
Author_Institution :
Grad. Sch. of Sci. & Technol., Keio Univ., Yokohama, Japan
Abstract :
In this study, we conducted foreign exchange rate simulated trading based on a traditional Japanese technical indicator called Ichimoku Kinkohyo, which is well-known and widely used in Japan for technical analysis on various kinds of market prices. We designed two trading strategies based on the support/resistance level of the five elements of Ichimoku and conducted simulated trading on short-term foreign exchange rate. The trading strategies are applied to five currency pairs: USD/JPY, EUR/USD, GBP/USD, USD/CHF and AUD/USD. Experimental results show that the average return of one trading strategy that based on Ichimoku Kinkohyo is extremely better than that of other baseline strategies.
Keywords :
foreign exchange trading; AUD/USD; EUR/USD; GBP/USD; Ichimoku Kinkohyo; Japanese technical indicator; USD/CHF; USD/JPY; foreign exchange rate simulated trading; market prices; short-term foreign exchange rate trading; technical analysis; Conferences; Educational institutions; Exchange rates; Genetic algorithms; Kernel; Resistance; Foreign exchange rate; Ichimoku Kinkohyo; Japanese technical indicator; Support and resistance; simulated trading;
Conference_Titel :
Information Science, Electronics and Electrical Engineering (ISEEE), 2014 International Conference on
Conference_Location :
Sapporo
Print_ISBN :
978-1-4799-3196-5
DOI :
10.1109/InfoSEEE.2014.6948127
