Optimizing Foreign Exchange Trading Strategies
- Slot at the GECCO Conference: The slot for Industrial Challenge result presentations at GECCO 2011 has been reserved:
Friday 15th, 1:40 P.M. – 2:40 P.M. (Room: Pembroke)
We are looking forward to meeting you in Dublin!
Please see this website and the official GECCO program for program changes and updates.
- Start of Second Round: Current FX return data sets for the second round have been collected. Submission analysis for the second round starts now. Please watch this website for updates.
- Submissions Closed: Submissions to the first round of the GECCO 2011 Industrial Challenge are now closed. Many thanks for your submissions, comments, and feedback! Watch this website for updates and announcements regarding the second round of the challenge.
- Deadline Extension: The GECCO 2011 Industrial Challenge submission deadline has been extended to June 6, 2011 23:59h CEST. Repeated/updated submissions are welcome. Please keep in mind that the new deadline is final. Use the GECCO 2011 IC Submission Form for sending your submission. Good luck to all participants!
The foreign exchange (FX) market is a financial market for trading currencies to enable international trade and investment. Goal of the GECCO 2011 Industrial Challenge is to find profitable trading strategies for automatic foreign exchange trading. A trading strategy is a function that generates a trading signal based on exchange rate time series data. Trading strategies are scored by cost-corrected profitability and risk. This scoring is based on a representative set of real-world exchange rate time series.
The challenge is organized in two rounds. In the first round, participants submit the sum of their scores reached on three test data sets supplied. They also submit their executable software together with short report describing their approach. In the second and final round, the ten best submissions of the first round will be ranked by their scores computed on new test data sets collected after the submission date, for the same currency pairs as used in the first round. The winner of the challenge will be the participant with the highest score in the final round.
Participants of the GECCO 2011 Industrial Challenge will maintain all rights to their submitted software. The organizers will not share a software submission without explicit permission of the participant. Nonetheless, participants are expected to describe their methods to the GECCO 2011 community.
Highlights of the GECCO 2011 Industrial Challenge include:
- Interesting Problem Domain: The FX market, with its complex patterns and behavior, offers a fascinating test case for innovative optimization methods.
- Real-world Data: Multiple real intraday FX return time series are provided for training and testing trading strategies.
- Realistic Quality Measurement: Trading strategies are scored using a simple but realistic trading simulator that takes trading costs and risk into account.
- Fair Submission Assessment: Winners are determined in a second round by simulated trading based on new FX return data sets, rendering accidental overfitting or cheating impossible.
Downloads and Submission
- Download the Call for Participation in PDF format.
- Download the GECCO 2011 IC Resource Package, containing the required datasets, software, and the official rules and regulations in ZIP or TAR.GZ format. Please see the file README.txt for further instructions.
- Please use the GECCO 2011 IC Submission Form for sending your submission.(Submission Closed)
Important Dates and Contacts
- Software and Data Availability: immediately
- Challenge Submission Deadline: June 6, 2011 23:59h CEST
- Start of Second Round: June 13, 2011
- GECCO-2011 Conference: July 12-16, 2011
- Contact: gecco at f10.fh-koeln.de
Organizing Committee and Sponsors
- Thomas Bartz-Beielstein, Cologne University of Applied Sciences
- Christian von Strachwitz, Quaesta Capital GmbH
- Oliver Flasch, Cologne University of Applied Sciences
- Wolfgang Kantschik, DIP Dortmund Intelligence Project GmbH
- Wolfgang Konen, Cologne University of Applied Sciences
- Pier Luca Lanzi, Politecnico di Milano
- Jorn Mehnen, Cranfield University
GECCO is sponsored by the Association for Computing Machinery Special Interest Group for Genetic and Evolutionary Computation (ACM SIGEVO). Title picture copyright by Jaap Steinvoorte (Creative Commons Attribution 2.5 Generic).