Abstract

KOEGELENBERG, D.J.C  and  VAN VUUREN, J.H.. Heterogeneous trading strategy ensembling for intraday trading algorithms. S. Afr. J. Ind. Eng. [online]. 2023, vol.34, n.3, pp.156-169. ISSN 2224-7890.  https://doi.org/10.7166/34-3-2951.

Since the inception of algorithmic trading during the mid-1970s, considerable resources and time have been committed by the financial sector to the development of trading algorithms in the hope of obtaining a competitive advantage over human contenders. A plethora of trading algorithms has been proposed in the literature; each algorithm is unique in its design, but little emphasis has been placed on heterogeneous trading strategy ensembling. In this paper, we propose a trading strategy ensemble method for combining three different domain-specific trading strategies: a deterministic strategy, a probabilistic strategy, and a machine-learning strategy. The objective of the trading strategy ensemble is to find an appropriate trade-off between the levels of return and the risk exposure of a trader. We implement our strategy across different historical forex currency pair data in a bid to validate the trading strategy ensemble, and we analyse the results by invoking appropriate return and risk performance measures.

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