[Algo Trading Projects] Machine Learning and Systematic Forex Trading

2 min read


Tuesday, April 13, 2021
9:30 AM ET | 7:00 PM IST | 9:30 PM SGT


About the Presentations

Project 1: Building a Random Forest regression model for Forex trading using price indicators and a sentiment indicator

The project is about building a machine learning model that could predict the next day’s currency close price based on previous days’ OHLC data, EMA, RSI, OBV indicators, and a Twitter sentiment indicator. It is based on a Random forests Regressor because it combines the benefits of trees’ predictive power and avoidance of overfitting. Also, the introduction of a sentiment indicator balances the limitations of technical analysis and draws information from the domain of behavioural economics.

Project 2: Systematic G10 FX index

This project is about the construction of an FX Index that can be used as a benchmark to proxy the G10 FX market performance in a systematic manner. To accomplish it, we will be using both technical and macroeconomic factors such as momentum, interest rates and purchasing power.


Presenters

Christos Gklinavos (Independent Software Developer and Robotics Educator)

Christos Gklinavos is an enthusiast of AI, Robotics, Drones and FinTech. He studied Economics, Business Administration, and Informatics. He holds a Master of Science in ICT and several certifications in programming and machine learning from Udacity, Kaggle and Google. In July 2019, he gained the Certificate of Excellence for successfully completing the Executive Programme in Algorithmic Trading offered by QuantInsti Ltd.

He had worked for two 2 years as an Independent Forex Trader using various platforms like MT4 with EAs, QuantConnect, Blueshift and InteractiveBrokers. Currently, he is living in Ioannina, Greece, teaching Educational Robotics and he is married with one kid.

Marti Castany (Founder & Portfolio Manager)

Marti is a quantitative researcher focused on the development of low and medium frequency systematic trading models. His experience comprises derivatives pricing and trading, OTC liquidity infrastructure and consulting services for the sell and buy side. He is also the Founder and Portfolio Manager of KomaLogic, a proprietary systematic trading firm.