presentasi thesis - untuk print
TRANSCRIPT
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Automated Trading System menggunakan Support Vector Machine
(SVM) untuk pasar Valuta Asing
Adhityo Priyambodo
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Why Foreign Exchange?
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Likuiditas Tinggi
4 Triliun dollar transaksi per hari
Volatilitas Tinggi
Risiko Tinggi vs Gain Tinggi
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Factor To Consider?
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Politik
Psikologi Pasar
Ekonomi
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The Market Structure?
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THE PROBLEM?
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“90-95% of Retail Traders Lose All Their Money”
forexfactory.com
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HAD LOST
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3.000 USD dalam waktu 3 jamNovember 2010
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12.450 USD dalam waktu 4 jamFOMC meeting Mei 2011
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..... THE CAUSE?
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Analisa trend pergerakan harga.Pengelolaan resiko (risk management).Pengelolaan dana (money management).Kurang kendali atas emosi diri (greed, fear,
ego).
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..... SO ?
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“Bagaimana membuat Automated Trading
System untuk melakukan proses perdagangan
valuta asing dengan memanfaatkan teknik
data mining yang efektif dan efisien?”
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Research Focus?
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Support Vector Machine (SVM)
GBP/USD
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Why SVM?
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Akurasi Lebih Tinggi Ukuran dataset lebih kecilProses training lebih cepatPencegahan Overfitting (SRM)
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The Research Method?
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PENDEFINISIAN MASALAH
STUDI LITERATUR
ANALISIS
PERANCANGAN
IMPLEMENTASI
UJI COBA
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The Research Data?
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The Concept?
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The Design?
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The Data Acquisition Process?
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SIMULASI TAHAP 1
EKSTRAKSI DATA BID CLASSIFICATION
LEARNING BID CLASSIFICATION DATA
SIMULASI TAHAP 2
EKSTRAKSI DATA LOSS TRANSACTION
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The Model Design?
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Bid Classification Service
I N P U TBID CLASSIFICATION
SERVICE
BUY
SELL
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Trend Classification Service
I N P U TTREND CLASSIFICATION
SERVICE
STRONG BULLISH
BEARISH
STRONG BEARISH
BULLISH
CONSOLIDATION
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Risk Classification
I N P U TRISK CLASSIFICATION
SERVICE
VERY HIGH
LOW
VERY LOW
HIGH
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Buy Risk Classification Model
BUY SIGNALBUY RISK
CLASSIFICATION
RISK SIGNAL
RISK LEVEL
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Sell Risk Classification Model
SELL SIGNALSELL RISK
CLASSIFICATION
RISK SIGNAL
RISK LEVEL
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The Experiment?
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Simulasi Backtest Timeframe 15 Menit (2003 – 2010)
Simulasi Backtest Timeframe 30 Menit (2003 – 2010)
Simulasi Backtest Timeframe 60 Menit (2003 – 2010)
Simulasi Realtime 25 Nov 2011 – 1 Desember 2011
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TREND CLASSIFICATION
BID CLASSIFICATION
SIZE CALCULATION
RISK CLASSIFICATION
DATA GATHERING
ORDER
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.... And The Result?
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Algoritma 1 Algoritma 2 Algoritma 3 Data Mining82
84
86
88
90
92
94
TF 15TF 30TF 60
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Algoritma 1 Algoritma 2 Algoritma 3 Data Mining0.00
2,000.00
4,000.00
6,000.00
8,000.00
10,000.00
12,000.00
14,000.00
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.. And The Conclusion?
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SVM mempunyai akurasi lebih tinggi
Kondisi ekstrim, SVM tidak berfungsi dengan baik
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.. For Future Works?
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Penggunaan mekanisme dimension reduction seperti SOM, PCA, ICA.
Implementasi Searching Algorithm untuk Risk Management