Rule-based-forex-trading-system

This is my capstone project for master of data science degree at University of Sydney under the supervision of Dr Matloob Khushi. The project aims to build an autonomous trading system on the forex market.

Pre-requisite

• Python 3.6+
• pandas
• numpy

Trading Rules

There are 16 signals generated by 16 different crossover rules. Details are as below:

1. Moving Average x Moving Average crossovers
2. Exponential Moving average x Moving Average
3. Exponential Moving average x Exponential Moving Average
4. Double Exponential Moving Average x Moving Average
5. Double Exponential Moving Avarage x Double Exponential Moving Avarage
6. Triple Exponential Moving Average x Moving Average
7. Stochastic Oscillator x Stochastic Oscillator Moving Average
8. Vortex Indicator High x Vortex Indicator Low
9. Ichimoku High x Close x Ichimoku Low
10. RSI x Threshold
11. CCI x Threshold
12. RSI x Upper Threshold x Lower Threshold
13. CCI x Upper Threshold x Lower Threshold
14. Keltner Channel High x Close x Keltner Channel Low
15. Donchian Channel High x Close x Donchian Channel Low
16. Bollinger Band High x Close x Bollinger Band Low