Implementing FX trade decisions with AI

  • 28 December 2021
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In my previous article, I investigated data on the relationship between FX (currency exchange) rates and breaking news. In this article, I will consider a system that can classify and issue position orders using a machine learning (AI) NLP model as soon as it receives breaking news. The basic idea is detailed in my previous article.
This time, I will not write about the implementation and details of machine learning. The results are quite good, but I cannot be responsible for the trades, so I will not distribute the model.

Identify currency news with BERT

For the past few years, BERT and its derivatives seem to be taking the world by storm in the field of NLP. So I’m going to use Electra, which is one of the most efficient learning methods out there. Also, it’s easier to use English as the target language, but in my case, as I’ll explain later, I’ll be focusing on Japanese news that comes out during Japanese trading hours, so the target language will be Japanese.
Electra Base model was used. For pre-training, we prepared our own model with the following training.

  • 90GB of Japanese text data
  • 2.5 million steps of learning
  • 512 batch size

Prepare the target currency pair and training data.

The amount of data that determines that a position should be L or S is quite small for USD/JPY and EUR/JPY. We also found that the accuracy of machine learning cannot be improved unless there are equal amounts of L, S, and do nothing data. For this reason, the currency pair used was the pound sterling, which has high volatility.
In addition, the training data is the Rxxters News data from 2016 to 2021, which I wrote about in my previous article, and filtered by the following conditions.

  • Eliminate anything that doesn’t seem obviously related to the pound or the yen.
  • Summary and market information is eliminated.
  • I sorted 2016~2020 as training data and 2021 as test data.
  • Other text pre-processing

And labeling was done with the following. 

Label 0: Rate does not fluctuate more than 0.35%.
Label 1: Rate increases over 0.35%.
Label 2: Rate drops over 0.35%.
Label 3: Rate goes up or down more than 0.35%.

Then, all the training data for label 1 and label 2 were replicated once (x2) and the data were overturned.

# Number of training data
{'0': 3625, '1': 2898, '2': 3050, '3': 126}
# Number of test data
{'0': 579, '1': 132, '2': 167, '3': 2}

The training data is still small. I would like to have 10 times more data, but I can’t prepare it this time, so this is it.


2 epoch training on a regular GPU (Tesla T4). It takes about 30 minutes to complete. Also trained with the pytorch framework. To be honest, I spent a whole day trying various tuning methods, but the results didn’t change much.

# News of 2021 that could be correctly classified.

It’s a good result. In other words, an AI trained on news data from 2016-2020 analyzed the news from 2021 and was able to guess the correct position about 85% of the time.

Trading simulation in Python

Let’s try a simulation using the model (AI) created here for the actual market period of 2021/1/1~2021/11/30. Since the period is already in the past, all the AI clustering has been done and the output is in CSV format as shown below.

label, date

This data represents something like a buy/sell order output by a machine learning model I created. For example, for the news that came out on 2021/01/04/06:26, “label=2” means to take an S position in GBPJPY. And the rules of the trade should be as follows. Maybe this following 7 is quite difficult in actual trade.

1. Initial investment of 1 million yen
2. Take the maximum number of positions you can take with 10x leverage each time.
3. Take a position only when the AI issues a label 1 (L) or label 2 (S).
4. Take a position at the rate one minute after the news is released.
5. Stop loss at 0.25% of rate
6. Only when the rate changes 0.35% in the direction of profit, will the stop loss of approximately 0.15% gain be executed.
7. If the unrealized profit increases, we will fish out the gain stop price of about 0.15% AGAINST
8. Ignore the next position holding notification when you have a position (the first order will take precedence).

A simulation reflecting these conditions was prepared with the following code.

import math
import csv
def get_csv_data():
    with open(f'GBPJPY.txt') as f:
        reader = csv.reader(f)
        ret = []
        for row in reader: ret.append(row)
        return ret

def get_result():
    with open(f'result.CSV') as f:
        reader = csv.reader(f)
        dic = {}
        for row in reader:
          if row[0] == 0 or row[0] == 3: continue
          dic[row[2]] = row[0]
        return dic

def get_profit(csv, i, type_num):
  l_or_s = 1
  if type_num == 2: l_or_s = -1
  if i >= len(csv): return 0
  spread = 0
  start = float(csv[i][3]) 
  fix_profit_per = 1 + (0.0035 * l_or_s) 
  fix_profit_border_per = 0.0015 * l_or_s 
  fix_profit_border = 0
  is_set_profit = False
  loss_cut_per = 1 - (0.0025 * l_or_s)
  end = i
  for plus in range(99999):
    end += plus
    rate = float(csv[end][3])
    if end >= (len(csv) - 1):
      spread = (rate - start) * l_or_s
    if rate < start * loss_cut_per and l_or_s == 1: # Loss Cut
      spread = (rate - start) * l_or_s
    elif rate > start * loss_cut_per and l_or_s == -1: # Loss Cut
      spread = (rate - start) * l_or_s
    if is_set_profit is False: 
      if rate > start * fix_profit_per and l_or_s == 1:
        fix_profit_border = start * (fix_profit_per - fix_profit_border_per)
        is_set_profit = True
      elif rate < start * fix_profit_per and l_or_s == -1:
        fix_profit_border = start * (fix_profit_per - fix_profit_border_per)
        is_set_profit = True
      if rate < fix_profit_border and l_or_s == 1:
        spread = (rate - start) * l_or_s
      elif rate > fix_profit_border and l_or_s == -1:
        spread = (rate - start) * l_or_s
      if rate > (fix_profit_border + start * fix_profit_border_per) and l_or_s == 1:
        fix_profit_border = rate - start * fix_profit_border_per
      elif rate < (fix_profit_border + start * fix_profit_border_per) and l_or_s == -1:
        fix_profit_border = rate - start * fix_profit_border_per
  return spread, end

if __name__ == '__main__':
    csv_data = get_csv_data()
    result_dic = get_result()
    asset_sum = 1000000
    leverage = 10 
    unit = 10000
    i = -1
    end = 0 
    for c in csv_data:
      i += 1
      if i < end: continue
      result_data = result_dic.get(c[1] + c[2])
      if result_data is None: continue
      rate = float(csv_data[i + 1][3])
      position_unit = math.floor((asset_sum * leverage) / (unit * rate))
      spread, end = get_prof(csv_data, i + 1, result_data)
      asset_sum += position_unit * unit * spread

That’s about 2.5 times the investment!

He made 113 trades in all, and his 1 million yen has grown to almost 2.5 million yen! No way, right?
To be honest, the number of attempts may be too small and the high leverage may just happen to be working. However, I was surprised to see a nice increase after 113 trades over 11 months. As I mentioned earlier, I think it is probably difficult to slide the stop-loss price for profit, so it may not perform like this in reality. Also, I don’t trust system trades because it’s common for them to work well in simulations but fall apart in actual trades.


Hmmm. I wasn’t expecting it to work this well at all. The actual trading is done as follows. It seems that there is no Japanese FX company that can trade with API, so the trade itself needs to be done manually by a human. Too bad.

Keep up with the latest news and run it through a machine learning model to make a decision each time. If it decides that a position should be taken, it notifies me on line. Immediately after that, open the forex app and take a L or S position. The rest is settled according to the above rules. After registering as a developer, you can easily send the API with the following code.

import requests

def send_line(text):
  response =
          "to": "toid",
          "Authorization": "Bearer TOKEN"

Also, once a month, we do additional training of the machine learning model. As more and more currency news comes out in a month, the AI is updated and enhanced to determine the latest information.

But after writing all this, I’m thinking that the world isn’t that naive. Isn’t it obvious that things are going too well? The above line graph looks like something you’d see on a scam website.
What I was concerned about was the continuity of economic news, but in this model, the decision was based on only one news. So, for example, if there is a “Fed hints at rate hike” followed by a “Fed leaves rates unchanged”, the second news would be too strong and you would have to reconsider your position, but in this model, the first news is given priority. Also, since the rate fluctuates greatly when there is a “big gap” between the two news, it is obviously not right to judge the news one by one.

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