# Grid Trading System Robot (GTSbot): A Novel Mathematical Algorithm for Trading FX Market

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## Abstract

**:**

## 1. Introduction

## 2. Related Works

## 3. GTSbot: The Proposed Pipeline

#### 3.1. GTSbot: Regression Network SCG

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^{2}logN) of classical BP algorithm, respectively) where N is the number of used neural weights in the network [8]. According to this, we implemented a SCG BP neural network composed by five neurons in the input layer, 500 neurons in the hidden layer and one neuron in the output layer. The output is the predicted currency cross close price. As reported in [8], the SCG BP neural network achieves effective results in terms of fast convergence even if it shows some drawbacks in terms of regression performance [8]. Anyway, the purpose of our pipeline consisted in predicting the trend in the short-term timeframe and not the exact close price. In Figure 2, an instance of the EUR/USD forecasted close prices for a subset of days on January 2018 is reported.

#### 3.2. GTSbot: Trend Classification Block

#### 3.3. GTSbot: Grid System Manager Block

- x-threshold = 15 (candlestick, i.e., 15 min in a 1 min timeframe);
- y-threshold = 0.00020 (two pips according to FX 5-digits quotations);
- Maximum number of operations = 13.

#### 3.4. GTSbot: Basket Equity System Manager

## 4. Results and Future Works

## 5. Conclusions

## Author Contributions

## Funding

## Conflicts of Interest

## References

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**Figure 3.**(

**a**) The EUR/USD real close time-series (red) vs EUR/USD forecasted close prices (black). (

**b**,

**c**) A detail of the forecasted close pricing (by the proposed scaled conjugate gradient back-propagation (SCG BP) neural network).

**Figure 7.**The GTSBot GUI interface. The first graphic on the top showed the dynamic real drawdown of the financial account. The second diagram showed the total profit being obtained. The third diagram showed a financial indicator known as the Sharpe ratio [12] that we used for monitoring financial dynamic of the trend.

Experiment [11] | FX Currency Cross | ROI [11] | MD [11] | ROI (Proposed) | MD (Proposed) |
---|---|---|---|---|---|

Nr. 01 | EUR/USD | 60.77 | 21 | 94.11 | 11.25 |

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**MDPI and ACS Style**

Rundo, F.; Trenta, F.; di Stallo, A.L.; Battiato, S. Grid Trading System Robot (GTSbot): A Novel Mathematical Algorithm for Trading FX Market. *Appl. Sci.* **2019**, *9*, 1796.
https://doi.org/10.3390/app9091796

**AMA Style**

Rundo F, Trenta F, di Stallo AL, Battiato S. Grid Trading System Robot (GTSbot): A Novel Mathematical Algorithm for Trading FX Market. *Applied Sciences*. 2019; 9(9):1796.
https://doi.org/10.3390/app9091796

**Chicago/Turabian Style**

Rundo, Francesco, Francesca Trenta, Agatino Luigi di Stallo, and Sebastiano Battiato. 2019. "Grid Trading System Robot (GTSbot): A Novel Mathematical Algorithm for Trading FX Market" *Applied Sciences* 9, no. 9: 1796.
https://doi.org/10.3390/app9091796