EURUSD Currency Trading Experiment

This project is for fun! And profit, if any.

The goal of this project is :

Develope an alpha model predicting Forex Movements (with accurary >= 70%);
Integrate it with a Algo Trading Enginne;
Add on Risk Management Modules to control drawdowns (e.g. Position Sizer & Emergency Stopper);

EURUSD 5-minute price data is from Dukascopy.com using their historical data feed.

Current Achievements:

Lots of price-based features added;
Used GDBT for benchmark prediction (no feature selection & parameters adjustments), got accuracy score of 0.6690;
A simple backtest example using Backtrader(an Open Source framework for backtest & live trading);

Working on:

Alpha Model:

Deep Neural Network model prediction (classification);
Change from a classification to a regression model to produce a profit target or a signal strength indicator;
Integrate model with Backtrader framework;

Algo Trading Implementation:

Add leverage/margin/commission setting;
Add position sizer;