Call for Participation
Overview
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.
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.
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:
Submission Guidelines
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
Software data
GECCO 2011 Industrial Challenge Resource Package. It contains:
- rules and regulations for the challenge
- training and test data sets
- example software in Java and R
You can download our software here: http://gociop.de/gecco-2011-industrial-challenge/
Submission site
Submit here
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