multi-timeframe algorithmic trading bots using thick data heuristics with deep reinforcement learning
abstract
this thesis presents an augmented artificial intelligence (ai) algorithmic trading
approach that combines thick data heuristics (tdh), with deep reinforcement learning
(drl), to successfully learn trading execution timing policies. in this thesis, combining the
augmented ai human trader’s intuition and heuristics with drl techniques to provide more
focused drivers for trading order execution timing is explored. in this financial technology
(fintech) research, the goal is to solve the sequential decision-making problem of ai for
profitable day and swing trading order timing executions. enabling trading bots with cognitive
intelligence and common-sense heuristics will offer traders including automatic traders an
insight to understand the day-to-day swing trading timeframes indicators and arrive at mature
trading decision-making. this thesis examines the performance of bots with nasdaq and nyse
stocks that have a strong catalyst (info. which increases directional momentum) to find that they
outperform benchmark algorithmic trading approaches. the thesis illustrates to the reader how to
combine tdh and deep q-networks (dqn) into a tdh-dqn augmented ai trading bot. the
bot learns through test data to predict the optimal timing of order executions autonomously on
idealized trading time series data. the results show the tdh-dqn bot outperformed the buy and
hold strategy plus two out of the three benchmark algorithmic trading strategies.