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Find the best prop firm for you with Wiki prop firm, the best prop trading platform.
Prop Trading Firms: Your Ticket to Professional Trading
Ever dreamed of trading like a professional without putting your savings at risk? That's exactly what prop trading firms offer. They're companies that provide skilled traders with substantial capital to trade the financial markets, creating a partnership where both the trader and the firm benefit from successful trading.
Think of prop firms as talent scouts in the trading world. They search for skilled traders and back them with real capital – often $100,000 to $1,000,000 or more. Once you pass their evaluation process and prove your trading abilities, they'll fund your trading account and split the profits with you.
Here's how prop firms transform trading careers:
Start small, trade big. Rather than saving for years to build a substantial trading account, you can access large capital by proving your skills through a trading challenge. Most evaluations cost between $500-$1,000 – a fraction of the funded account size you'll receive.
Risk management made simple. Instead of risking $50,000 of your own money, you risk only the evaluation fee. This setup protects your personal finances while giving you access to professional-level trading capital. You can focus on executing your strategy without the emotional burden of risking your savings. Trade your own strategies with higher leverage and manage your risk like a professional.
Real profit potential. Trading larger accounts means larger profit potential. A 10% return on a $200,000 funded account could mean $10,000-$12,000 in your pocket (depending on your profit split), compared to $1,000 from the same performance on a $10,000 personal account.
Professional development. Leading prop firms provide advanced trading tools, detailed analytics, and performance tracking that help you grow as a trader. You'll learn to trade with professional discipline and develop habits that separate successful traders from the rest.
Flexibility meets opportunity. Whether you're targeting forex, futures, stocks, or crypto, there's a prop firm that matches your trading style. You can trade from anywhere, choose your own hours, and scale your involvement as your success grows.
Multiple income streams. Successful traders often maintain funded accounts with several prop firms, creating diverse income sources. This approach helps spread risk and maximize earning potential while trading different strategies or markets.
No office politics or trading restrictions. Unlike traditional proprietary trading jobs, online prop firms let you trade from anywhere, anytime. You're not tied to a desk or restricted by typical employment obligations. Your success depends purely on your trading performance.
Clear path to success. Prop firms provide a structured pathway: pass the evaluation, get funded, and start earning. No need to navigate the markets alone or spend years building capital. Their profit-sharing model means they're invested in your success – when you win, they win. Scalpers and swing trading
For traders serious about their craft, prop firms offer the most practical route to professional trading. They remove the biggest barrier to trading success – lack of capital – while providing a framework that promotes disciplined, profitable trading.
The best part? You can start today. Research reputable firms, choose one that matches your trading style, and take the first step toward trading professionally. Your journey to funded trading success begins with choosing the right prop firm partner.
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NordFX Wiki Review A Trusted Trading Platform for All
Navigating the financial markets requires a dependable trading partner, and NordFX has emerged as one of the leading platforms for traders worldwide. This NordFX Wiki Review delves into the features, benefits, and services that make NordFX a standout choice for both novice and experienced traders.
Introduction to NordFX
Founded in 2008, NordFX has established itself as a global financial broker catering to a diverse clientele. The platform offers access to multiple financial instruments, including forex, cryptocurrencies, commodities, and indices. With a strong focus on user-friendly interfaces, security, and competitive pricing, NordFX is a reliable option for traders looking to optimize their strategies.
Key Features of NordFX
1. Versatile Trading Instruments
NordFX provides a wide range of assets, enabling traders to diversify their portfolios. These include:
Forex Pairs: Trade major, minor, and exotic currency pairs.
Cryptocurrencies: Popular options like Bitcoin, Ethereum, and Litecoin are available.
Precious Metals: Diversify with assets like gold and silver.
Indices and Stocks: Access global market indices for balanced investments.
This variety ensures that traders can access lucrative opportunities across markets.
2. Advanced Trading Platforms
NordFX utilizes the MetaTrader 4 (MT4) platform, renowned for its efficiency and versatility.
Customizable Tools: Analyze markets with advanced charting and indicators.
Automated Trading: Implement strategies using Expert Advisors (EAs).
Mobile Compatibility: Trade anytime with the mobile-friendly MT4 app.
These features make NordFX a suitable platform for both manual and automated trading.
3. Flexible Account Types
To accommodate traders with varying needs, NordFX offers multiple account options:
Fix Account: Perfect for beginners, offering fixed spreads and no commission.
Pro Account: Ideal for experienced traders seeking tighter spreads.
Zero Account: Designed for professionals, featuring zero-pip spreads and low commissions.
The variety of accounts ensures every trader finds a suitable option tailored to their expertise and goals.
Advantages of Trading with NordFX
1. High Leverage Options
NordFX offers leverage up to 1:1000, enabling traders to control larger positions with minimal capital. This feature is especially useful for traders looking to maximize their profits while keeping their investments small.
2. Low Minimum Deposit
With a minimum deposit requirement of just $10, NordFX is accessible to traders of all levels, including beginners.
3. Affordable Trading Costs
NordFX’s competitive pricing structure includes tight spreads and minimal fees, ensuring that traders retain a larger portion of their earnings.
Educational Resources
NordFX understands the importance of informed trading decisions. To support its users, the platform provides:
Webinars and Tutorials: Covering market analysis, trading strategies, and platform usage.
Market Insights: Daily updates to keep traders informed of trends and opportunities.
Step-by-Step Guides: Helpful for newcomers learning the basics of trading.
This robust library of resources empowers traders to make better-informed decisions.
Security and Customer Support
NordFX prioritizes security to provide a safe trading environment. The platform uses advanced encryption protocols and segregated client accounts, ensuring funds are protected.
Moreover, NordFX offers multilingual customer support, available via live chat, email, and phone. This ensures that users receive timely assistance, regardless of their location or issue.
Cryptocurrency Trading with NordFX
Cryptocurrency trading is one of NordFX’s standout features. The platform allows traders to access major digital currencies, with high leverage and 24/7 market availability. This flexibility makes NordFX an attractive option for crypto enthusiasts looking to capitalize on market volatility.
Limitations of NordFX
While NordFX has numerous advantages, there are areas for improvement:
Limited Platform Options: The sole reliance on MT4 may not appeal to traders seeking more modern platforms like MT5.
Restricted Access: Certain regions face regulatory restrictions, limiting NordFX’s availability.
These limitations, while noteworthy, do not overshadow the platform’s overall strengths.
NordFX Wiki Review: Final Thoughts
NordFX has built a strong reputation as a reliable and versatile broker. With its user-friendly MT4 platform, competitive pricing, and extensive range of trading instruments, NordFX meets the needs of traders across skill levels.This NordFX Wiki Review highlights the platform’s strengths, including its robust security, educational resources, and excellent customer support. Whether you are new to trading or an experienced investor, NordFX offers the tools and features needed for success.
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Navigating the Forex Market: How WikiFX Ensures Broker Transparency
Navigating the Forex Market: How WikiFX Ensures Broker Transparency The forex market, known for its vast opportunities and high volatility, can be a challenging environment for traders, especially when it comes to choosing a reliable broker. The lack of transparency and information about brokers has often led to traders falling victim to fraudulent practices. This is where WikiFX steps in, providing a comprehensive platform that ensures broker transparency and helps traders make informed decisions.To get more news about WikiFX, you can visit our official website.
The Need for Transparency in Forex Trading Transparency in the forex market is crucial for several reasons. Firstly, it helps traders avoid scams and fraudulent brokers. Secondly, it ensures that traders have access to accurate information about brokers’ regulatory status, trading conditions, and customer feedback. This information is vital for making informed decisions and minimizing risks.
WikiFX: A Comprehensive Solution WikiFX was created to address the forex market’s lack of transparency and information. The platform provides detailed information about forex brokers, including their regulatory status, trading conditions, and client feedback. Here are some of the key features that make WikiFX an essential tool for forex traders:
Extensive Broker Database: WikiFX boasts a vast database of over 43,000 forex brokers. This extensive collection allows traders to find and compare brokers easily. The database is regularly updated to ensure that traders have access to the most current information1. Client Feedback System: One of the standout features of WikiFX is its client feedback system. Traders can rate and review brokers based on their personal experiences. This system helps other traders understand a broker’s reputation and customer service. The feedback is moderated to ensure that only genuine reviews are published, enhancing the platform’s credibility1. Regulatory Information: WikiFX provides detailed information about each broker’s regulatory status. This feature is crucial for traders looking to avoid unregulated or fraudulent brokers. The platform also offers a Regulatory Wiki section, which provides comprehensive information about forex regulation in various countries and regions. Multi-language Support: To cater to traders worldwide, WikiFX supports multiple languages, including English, French, Chinese, Arabic, and Vietnamese. This feature makes the platform accessible to a broader audience. Strict Evaluation Process: Brokers listed on WikiFX are required to provide detailed information about their services, including trading conditions, fees, and regulatory status. The WikiFX team reviews and verifies this information. Additionally, WikiFX has teams worldwide that perform field surveys to verify the legitimacy of brokers’ business premises. Enhancing Trader Confidence By providing detailed and accurate information about brokers, WikiFX enhances trader confidence. Traders can make informed decisions, knowing that the brokers they choose are regulated and have a good reputation. This confidence is crucial in a market where trust is often in short supply.
The Role of Technology WikiFX leverages technology to provide a user-friendly platform that is accessible to traders of all skill levels. The platform’s mobile application allows traders to access information on the go, making it easier to stay informed and make quick decisions. The app’s intuitive design ensures that even novice traders can navigate the platform with ease.
Conclusion Navigating the forex market can be daunting, but platforms like WikiFX make it easier by ensuring broker transparency. With its extensive database, client feedback system, regulatory information, multi-language support, and strict evaluation process, WikiFX provides traders with the tools they need to make informed decisions. By enhancing transparency and providing reliable information, WikiFX plays a crucial role in helping traders navigate the complex world of forex trading.
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By the way right next to the border trade is the chicago federal reserve... The Chicago Federal Reserve deals in Forex!!!! So that Means chicago Is very big forex exchange, actually physical exchange.
Do governments trade forex?
The foreign exchange market is the most liquid financial market in the world. Traders include governments and central banks, commercial banks, other institutional investors and financial institutions, currency speculators, other commercial corporations, and individuals.
https://en.wikipedia.org › wiki › Fo...
Foreign exchange market - Wikipedia
Federal Reserve Bank of Chicago
https://www.chicagofed.org
Federal Reserve Bank of Chicago
The homepage of the Federal Reserve Bank of Chicago, including recent news, upcoming events, and economic snapshot data.
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Libertarian Wiki is a place for the freedom of money, especially with cryptocurrencies such as Bitcoin. We discuss decentralized money as well as related topics like crypto taxes and forex trading.
forex investing
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The Greatest Guide To Apostille Services For Philippines
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What we take into consideration right before working with anonymous sources. Do the resources know the information? What’s their inspiration for telling us? Have they proved trusted prior to now?
An Apostille (Certification) is actually a square approximately 9cm prolonged, ordinarily stamped onto the reverse aspect of one website general public document. It is actually formatted into numbered fields to allow Licensed facts for being recognized by the getting nation, regardless of the official language of the issuing place.
Previously, as explained by Wiki, “the document has to be Qualified through the overseas ministry from the region wherein the doc originated, after which you can by the international ministry of the government with the point out during which the doc will be employed; one of the certifications will typically be performed at an embassy or consulate.
How to get an appointment in DFA for apostille is rapidly completed on the internet. Numerous DFA branches launched a web-based appointment platform to provide DFA authentication and apostille.
Irrespective of these strengths, the Philippine financial state and overall balance are still looking for reform. Poverty, corruption, and crime are One of the nation’s most severe challenges, which makes it hard for foreigners to take a position and develop Work opportunities. Even though the Philippines’ financial state and All round steadiness are enhancing, it nevertheless incorporates a great distance to go with regard to visa software rejection fees and immigrant visa availability. Within the Philippines, US citizens can enter and remain for around fifty-nine days without a visa. Despite these Advantages, the Philippines’ economic system and balance proceed to get hampered by important challenges.
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Whether or not you have already been an OFW for very some time or this can be your 1st time Functioning overseas, Here are a few useful suggestions and stage-by-move guides on how to obtain Apostille paperwork.
You may validate the authenticity of the apostilled doc online. The DFA introduced a wonderful platform that might be employed by embassies and consulate workplaces or anyone who would like to Test irrespective of whether their authenticated certificates are legit. Do the subsequent measures.
I discovered a lot about finance after Operating to get a digital advertising and marketing enterprise specializing in investing and trading shares, forex, and so on. Following that, I got exposed to other verticals for instance prosperity management and personal finance, which even further enhanced my knowledge of the economic earth.
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Forex Trading Wiki http://dlvr.it/RczC89
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Get the forex best brokers to start trading in forex trading for success in the Forex Market.
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Buy Bitcoin in Canada With Leading Exchanges
Here's your quick and easy 5 minute and 5-second guide to buy and trade bitcoins in Canada. Just deposit CAD into your online bank account and then buy some. Sell back on the currency market. You've got everything you need to get started, just follow these steps. You can know more about bitcoin on this page.
This step is pretty self-explanatory. But let me give you a quick rundown of some popular exchanges. First, there is the main chain, which is a Canadian version of the biggest exchanges (for now, at least). Next is the alternative coinage system, which works pretty much the same way across all major currency pairs. Last but not least is the Canadian Dollar, which trades very little and is consequently very cheap when buying and selling.
Now, onto the actual buying and selling of the crypto coins themselves. There are currently three very popular options. The most popular and therefore probably the one you should focus on if you're new to this sort of thing. The two main choices are the Point of Sale (POS) platform and the Live Forex Network (LFC) platform. Visit https://virgocx.ca/en-buy-bitcoin/ to get the best bitcoin platform.
With the Point of Sale platform, you have a variety of ways to buy and trade. You can trade via the internet as usual. You can also use credit cards, PayPal, and paper checks. Or you can use an ATM and get integrated with the Canadian financial world.
The other choice is the Live Forex Network. Live Forex offers both the Canadian dollar and the US dollar as well as several other currencies. These include the EUR/CHF, the AUS, the NZD, the GBP, and the SGBP. As you can imagine, since these currencies are not widely recognized or even exchanged regularly in most countries around the world, they can be difficult to get to when you want to buy or sell. With the LFC platform though, all of these currencies are available for your to trade. This makes it easier to buy a variety of cryptosurfs and make transactions promptly that allows you to maximize your profits.
When it comes to choosing an exchange to buy Cryptocurrency in Canada, your best option is the LFC Exchange. This is the most popular of the exchanges because they are the most accessible. They offer twenty-four-hour-a-day liquidity which gives you peace of mind that your investments are safe and secure. Also, they have some of the best customer services in the business. As an investor, you want to choose a company with people who are willing to help you out as you invest and grow your wealth. You can get more enlightened on this topic by reading here: https://en.wikipedia.org/wiki/Digital_currency.
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Benefits of an FX Trading Wiki
One of the most comprehensive ways of creating an information source on the Internet is through the use of wiki software. One of the most popular websites in the world paved the way for the acceptance of this type of technology. The benefits of the software allow multiple users to share in crediting the knowledge about the subject. As information is clarified or becomes updated, edits can be made to existing information. The software keeps track of who and how often these updates occur. These are major reasons why this software would be an excellent choice for creating a FX Trading Wiki.
The practice of FX or foreign exchange trading has grown thanks to the widespread use of the Internet. As such, more and more people are seeking information regarding how this process works. A FX Trading Wiki would prove to be a valuable resource for those people seeking this method of investment. It would require some initial setup but once the beginning settings are established, the wiki would quickly become full of relevant forex video information. As the popularity of the site grows, it will create a community of users.
Once the FX Trading Wiki is up and running, there will likely be some power users. Once trust has been established, these people can be assigned higher security and more responsibilities in managing the wiki. The users will be grateful for the recognition of their involvement. It will also help make the overall administration of the wiki easier. By allowing a few people to have greater rights, it will prevent an overall feeling of bias on the site.
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Forex Trading Wiki http://dlvr.it/RczBY5
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Comprehension Online Investment Strategies
On the net investment strategies can include lots of options. Online brokerages along with websites enable anyone involving legal age to engage with buying and selling stocks, bonds, foreign money, commodities, and precious metals. Mainly because investing online is equally easy and risky, if you are new with trading, take each precaution, research well just about every investment firm and every expenditure prospect, and invest slowly but surely and with extreme caution. Learn about purchase and formulate your investment decision strategy before spending money. onlineinvestments.org
Investment Markets Before shelling out the first cent in an on the net investment, ensure you know precisely any type of investment tools that fit your investment outlook, short term and also long term financial goals. Often the categories of investment vehicles include things like:
Capital Market: Where health systems and large corporations raise long run funds. Those providing cash meet those who provide investments, and trades are made, each party hoping it will make money. Cash market investments include companies, bonds, mutual funds, selections, Treasury bills, and more.
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References Investment https://en.wikipedia.org/wiki/Investment
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Python Implementation of FX System Trading Agent with Deep Reinforcement Learning (DQN)
Hi, I'm ryo_grid a.k.a. Ryo Kanbayashi.
I implemented a trading agent (with decent performance) with deep reinforcement learning (DQN) to simulate automated forex trading (FX) as an practice for learning how to apply deep reinforcement learning to time series data.
This work have done with time of 20% rule system at my place of work partially: Ory Laboratory inc .
In this article, I introduce details about my implementation and some ideas about deep reinforcement learned trade agent. My implementation is wrote with Python and uses Keras (TensorFlow) for implementing deep learning based model.
Implementation
Papers referenced (hereinafter called to "the paper")
"Deep Reinforcement Learning for Trading", Zihao Zhang & Stefan Zohren & Stephen Roberts, 2019 . papers 1911.10107, arXiv.org.
State
Current price (Close)
Past returns
The difference between the price at time t and the price at time t, which corresponds to the episode
The method proposed in the paper is not intended for FX only. So, as an example, if we consider the case of stocks, I thought that we can interpret the price change as a return
4 features. 1 year, 1 month, 2 months, 3 months
These are normalized by the square root of the number of days in the period and the exponentially wighted moving starndard deviation (EMSD) in the last 60 days
(In my implementation, I replaced one day to a half-day, so a number used on calculation is double the number of days)
About EMSD in Wikipedia
For more information, please see the paper and my implementation
Moving Average Convergence Divergence (MACD)
It seems to mean the same thing as what is commonly known, but the method of calculation seems to be different, so please refer to the formula in the paper and my implementation
Relative Strength Index (RSI)
It looks past 30 days
Later features are added by me (I replaced LSTM layers which handle multiple time series data to Dense layers. So, I added several technical indicators as summary data for historical price transition)
Change ratio in price between a price of t and price of t-1
Several Technical Indicators
Moving Avarage (MA)
MA Deviation Rate
First line value of the Bollinger Bands
Seconde line value of the Bollinger Band
Percentage Price Oscilator (PPO)
Chande Momentum Oscillator (CMO)
volatility
Exponentially wighted moving starndard deviation (EMSD) in the last 60 days
Same as the value used in calculating the feature "Past returns", and same as the value used in calculating the reward
Action
Sell, Do nothing, Buy
Actions are replesented as Sell = -1, Do nothing = 0, Buy = 1
Environment buys and sells corresponding to the selected action, puts the value shown above corresponding to the action into the reward formula, and returns the value to agent
Do nothing: do nothing
Buy: close a short position and open a long position If having a long position. If not, do nothing
Sell: close a short position and open the short position If having a short position. If not, do nothing
The formula for calculating reward
Reward
Calculating formula
Calculating fomula is one shown above
Each constant and variable
A{t}: the value corresponding to the action selected at time t. The value is: Sell = -1, Do nothing = 0, Buy = 1. When it used in the calculation, t indicates the time of the current episode. The formula for reward uses the actions selected at t-1 episode and t-2 episode. But A{t} which is selected at current episode is not used
μ: in the case of FX, it is equivalent to the number of currencies to be purchased. The paper says the was set to 1
σ{t}: volatility at time t. See the paper and serious implementation for the calculation
σ{tgt}: I honestly don't understand much about this. The value must be a certain percentage of the value of return for a particular period of time (not constant value) accordint to refereed papers from the paper. But performance was bad when the definition is used. So I checked the range of values that σ{t} and I fixed it to 5.0
p{t}: price at time t without considering the spread
r{t}: p{t} - p{t-1}
bp: the percentage of transaction fees, which in the case of FX is payed as spread. In the my implementation, if there was a spread of 0.003 Yen per Dollar when 1doller = 100Yen, the valuation loss is assumed to be 0.0015 Yen for one way. So I fixed bp to 0.0015
Interpretation of the reward formula in broad terms
The basic idea is to learn appropriate actions corresponding to input features from the results of transactions in the training data (I recognize that this is essentially the same as forex prediction, etc.)
However, instead of simply using trading results as a reward, the risk of holding a position represented with the recent volatility is considered and the reward is scaled with the risk value (in the paper, this may be a method that is applied to portfolio management, etc.)
In calculating the reward at a episode in time t, informatoin of A{t} selected in time t is not used. It seems strange. However certain percentage of the rewards in next episode is added (sometimes positive, sometimes negative) due to Q-learning update equation. And reward of next episode in time t+1 is mainly determined from result of a transaction corresponding to A{t}. So there is no problem.
Interpretation of specific expressions
Fomula in box brackets corresponds to the change in holding status of a long or short position for one currency bought and sold one episode ago (even if there is no change in the position). And μ corresponds to the number of currencies bought and sold
The first item in the box brackets evaluates the action one episode earlier A{t-1}. A{t-1} varies in {-1, 0, 1} and r{t} is the difference between the price at the time of the previous episode and the price at the current time. Therefore, the item takes a positive value if the price has gone up and a negative value if the price has gone down. Therefore A{t-1} * r{t} becomes positive value if you buy and the price goes up, and if you sell and the price goes down. It is a negative value if the trade was reversed one. In short, it represents whether the trade was correct or not. If the action was donot, A{t-1} values 0 and the value of the first item becomes 0
σ{tgt} / σ{t-1} is a coefficient for scaling the above value with volatility at t-1. In situations of low volatility, value will be higher and in high volatility, value will be lower. This causes agents to behave in such a way that it avoids trading in situations of high market volatility. It seems to me that the fractions with volatility appeared in the second item is works as same as one of first item.
On the second item, -bp * p{t-1} represents the one-way transaction cost per a currency and absolute value part represents wheter the transaction costs ware incurred in te previous episode. Therefore, multiplying them together gives the transaction cost per currency incurred in the previous episode
For the part of the second item that gives absolute value, without cossidering the scaling by volatility part, if the actions at time t-1 and t-2 were a "Sell" and "Buy" ("Buy" and "Sell"), the value is 2. The value = 2 means twice of one-way transaction costs were paid for closing a position and opening a position. "Do nothing" and "Sell" or "Buy" (even if the order is reversed) will result in a value of 1 and it means one-way cost was paied. However, in this case, there must be a case where the agent just kept the position and no cost should be incurred I think. But a one-way transaction cost was incurred on the fomula anyway. In the case of "Do nothing" and "Do nothing", the value is 0 and no transaction cost is incurred
Differences between my implementetion and the method proposed by the paper (some of which may be my misread)
σ{tgt} for reward scaling
If I'm understanding it right (I'm not sure...), the paper seems to have a value that changes from episode to episode (not a fixed value). But when I implemented it, the performance was reducedsignificantly. So I'm using a fixed value
In calculation the standard deviation for MACD, the period of time is set to six months instead of one year
The paper seems to use volatilities calculated over the differences in price changes (the difference between sccessive two prices) as volatility. But my implementation uses vollatilities calculated over the prices direectly
I also tried to implement using volatilities calculated over the differences in price changese, but it only reduced performance, so my implementation is not using it
All replays of a iteration are done at last of the iteration (fit method of TF is called once only per iteration)
Learning period and test period
My implementation uses 13 years of data from mid-2003 to mid-2016, whereas the paper uses 15 years of data from 2005 to 2019
The paper evaluates the study period as 5 years
I'm guessing that they had it as a study/test at 5 years/5 years, and when looking at performance in the next 5 years, they moved the study period forward 5 years and re-modeled it again
Half-day, not one-day
To increase trading opportunities and the number of trade
The reason for increasing the number of trades is we think it reduces the luck factor
Batch Normalization is included (the paper doesn't mention whether any layers are added other than the layers described)
No replaying across iterations
In my implementation, "memory" is cleared at start of each iteration and replays are random replay. Therefore the only records of the episodes used are those of the same iteration without duplication
In the paper, it is stated that the size of the memory is 5000 and replay is performed every 1000 episodes. So it seems that the contents of the memory are maintained across iterations and the replay is performed using the contents (it is not clear how the data of the episodes are selected for the replay)
The input features are normalized by scikit-learn's StandardScaler to all of them
In the paper, it is stated that only the value of the prices are normalized
In addition, because the features of the test data must be normalized in the evaluation with test data, a instance of StandardScaler is maintained that are fitted when normalizing the features of the training data and it is used to normalize the features of the test data as well
The paper refers to the volume of transactions as a fixed number of currencies. But my implementation dynamically changes number of currencies according to amount of money agent has
In the paper, it is stated that fomula for calculation of reward value should be changed when using not fixed number of currency on each transaction to achieve compounding effect. But the formula is not changed on my implementation
Procedure for creating a model for an operational scenario
How to decide which model to use
Look at the results of backtests run periodically during learning to find just the right number of iterations before overlearning occurs
If the trade performance is stable for about a year on backtesting. Except for there is significant market trande change, it is likely that the performance will be similar. If clearly market movements and price ranges are different from the training period and the period of the test data, there is no choice but to shut down the operation
If stable result is found, you do early stopping so that you can get the model at the point. Please note that in the current implementation, the total number of iterations is used as a parameter of the gleedy method. Therefore, you can't end execution early by reducing it. Therefore, for terminating execution, inserting code for it is necessary
If stable result does't show up, you can change the learning period (longer or shorter)
If you want to extend the learning period, you need to increase the number of NN units and if you want to shorten it, you need to reduce it, which was found experimentally
NN's expressive power varies with the number of units, so if it is too few, they cannot acquire even common rules in training and test data (before over-fitting begins) due to lack of representation maybe. If it is too many, early over-fitting occurs due to excessive expressive power maybe
As the performance tends to deteriorate when there is a gap between the training period and the test period, beginning of training data is moved forwards to shorten the period, and to lengthen the period, the beginning of the training period is moved backwards (if there is extra data) or the beginning of the test period is moved into the future (if you can accept to shorten the test period)
Agent trade performance simulation (USDJPY, EURJPY, GBPJPY)
Exclude about first one year for feature generation of later period and the subsequent six years (excluding non-tradeable weekends, etc) were used as training data. And remaining period (excluding non-tradeable weekends, etc) were used as test data
Since the evaluation backtest only outputs a log of option close, results graph below also shows the number of close transaction on the horizontal axis and the axis does not strictly correspond to the backtest period (periods when no closes occurred do not appear in the graph). But it almost corresponds because close operations are distributed evenly over the all period at the results below
Execution Environment
Windows 10 Home 64bit
Python 3.7.2
pip 20.0.2
pip module
tensorflow 2.1.0
scikit-learn 0.22.1
scipy 1.4.2
numpy 1.18.1
TA-Lib 0.4.17
(Though machine used for execution had GeForce GTX 1660 Super, I have disabled it at program start-up because using GPU makes learnig speed slow on the NN network scale of this model which is relatively small and I heard that fixing the seed will not be reproducible when GPU is used)
Exchange rate trends for each dataset (price of Close on dataset)
In my implementation, the price of the long position is based on p{t} + 0.0015 yen. The price of the short position is based on p{t} - 0.0015 yen. When closing, the price is the reverse of both. Taxation on trading profit is not considered.
USDJPY (2003-05-04_2016-07-09)
EURJPY (2003-08-03_2016-07-09)
GBPJPY (2003-08-03_2016-07-09)
Hyperparameters
Learning rate: 0.0001
Mini-batch size: 64
Traing data size: Approx. 3024 rates (half-day, approximately 6 years, not including non-tradeable days)
Number of positions (chunks of currency) that can be held: 1
NN structure: main layers are 80 units of Dense and 40 units of Dense
Dueling network is also implemented
NN structure
Backtesting results with test data for each currency pair
Backtesting is started with an initial asset of 1 million yen
The duration of the training data is about 6 years (excluding about first year of data sets).
Data of excluded first year and a little over a year is used to generate features of training period
The length of the testing period varies slightly from one another, but all of them are the last five years and a little ovaer a year (the period is continuous with the one of training data)
The following is just a case of early termination with a good number of iterations that have performed well. There are also a lot of results that are not good at all when training code progress is smaller and larger number of iterations than one of results below.
USDJPY
Trands when 120 iterations trained model is used
EURJPY
Trands when 50 iterations trained model is used
GBPJPY
Trands when 50 iterations trained model is used
Source Code
Repository (branch): github
Source File: agent, environment
This is the code used to evaluate the dataset in USDJPY. If you want to load a file of another currency pair, you can use the codes which are commented out on environmnt's data loading part
Trying to execute my code
If you are on Windows, you can run it as follows (standard output and error output are redirected to hoge.txt)
pip install -r requirements.py
pip install TA_Lib-0.4.17-cp37-cp37m-win_amd64.whl (required only on Windows)
python thesis_based_dqn_trade_agent.py train > hoge.txt 2>&1
My code evaluates the model every 10 iterations by backtesting at train data and test data. The bactest results are output to auto_backtest_log_{start date}.csv (log of position close only). Firstlly backtest in the period of training data runs, then backtest in the test period runs subsequently. So please use the start date and time to determine which result is you want to see
In the result csv...
Second column value is number of episode which position close occurs at (0 origin)
Ninth column value is the amount of money the agent has after closing a position
Please refer to the code to see what the other column values represent :)
A side note
Reason why LSTM is not used
It was not possible to generalize when using LSTM
I tried several methods for generalization: changing hyper parameters, changing number of units, L1 and L2 regularization, weight decay, gradient clipping, Batch Normalization, Dropout, etc. But generalization is not succeeded at all
When using LSTM, there is a case that evaluated performance at train data decreases continuously with proportion as the training iteration progresses (not just temporarily)
I wasn't sure if the side of the reinforcement learning framework's problem or the characteristics of the NNs I composed
When trying simple supervised learning, which uses the same features and NN structure to predict the up or down of an exchange rate, same trends happened
Note that the above weird phenomenon were not verified when LSTM was not used.
I'm not quite sure reason why my implementation works successfully though state transition is straight (there is no branching)
About data for training period
It is best to keep the operational period and the training period as close as possible, and not to make the training period too long
If model is trained with longer period data, the model will be able to respond to many type of market movements and range changes. Howerver when long period training is applyed to model, win rate seemed to drop
Note: Challenges I've encountered in creating several Forex system trading programs and solutions of these challenges - Qiita (Japanese)
It would seem desirable if trainging period could be kept to about 3 years, but this is the flip side of the above. And if the price range is far from training data, transactions itself did not seem to occur
Generating two models, one with short training period and the other with a long training period, and switch model to operate according to market trend might be a good idea
There is no concept of stop-loss in my agent. Therefore maybe it's better to introduce stop-loss mechanism outside of the model but it's not easy. If stop-loss mechanism is implemented simply, trade performance should be not good (from my experience)
Evaluation metric of backtest (trade simulation) result
I think that it's not enough to look at the sharpe ratio
For example, stable incresing trend and trend which has radical increasing transaction and other transactions which don't chage amount of money give almost same sharp ratio values if amounts of money are same at last of test period
Series of tweets on this matter (Japanese)
Finally
I would like to express my respect and appreciation to Zihao Zhang, Stefan Zohren and Stephen Roberts who are author of the paper I was referring to
I'd appreciate it if you point out any errors in my reading of the paper
There may be some bug on my implementation. So if you find, it would be helpful if you could regist github issue to my repository
If you have any advice, I'd appreciate your comments even if it's trivial!
Enjoy!
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