Tsarin Haɗawa da Hankali don Cinikin Forex na Hankali

1. Gabatarwa

Kasuwar musayar waje (Forex) ita ce kasuwar kuɗi mafi girma a duniya, tana da siffar babban ruwa mai motsi, sauyin yanayi, da sarkakiya. Yin tsinkaya motsin farashin Forex yana da wahala saboda tasirin abubuwa masu yawa na tattalin arziki, abubuwan siyasa, da yanayin kasuwa. Binciken fasaha na gargajiya, ko da yake yana da amfani, sau da yawa ya kasa daidaitawa da sauye-sauyen kasuwa ko abubuwan "bakar agwagwa". Wannan takarda ta ba da shawarar sabuwar hanyar koyon na'ura wacce ta haɗa dabarun haɗawa tare da tsarin hankali don inganta daidaiton tsinkaya, musamman yana mai da hankali kan yanayin kasuwar da aka sayar da su don dabarun ciniki masu haifar da abubuwan da suka faru. Tsarin yana amfani da bayanan Forex na tarihi da alamomin fasaha da aka samo daga 2005 zuwa 2021.

2. Adabin da ya danganci

Binciken ya ginu akan kafaffen ka'idar kuɗi da aikace-aikacen koyon na'ura a cikin kuɗin ƙididdiga.

2.1 Alamomin Fasaha

Alamomin fasaha lissafin lissafi ne da aka ginu akan farashin tarihi, ƙididdiga, ko buɗe sha'awa da ake amfani da su don tsinkayar alkiblar kasuwar kuɗi. Tsarin ya haɗa da alamomi masu mahimmanci da yawa.

2.1.1 Alamar Ƙarfin Dangantaka (RSI)

RSI oscillator ne mai motsi wanda ke auna saurin da canjin motsin farashi. Ana amfani da shi don gano yanayin sayarwa ko sayarwa.

Tsari: $RSI = 100 - \frac{100}{1 + RS}$ inda $RS = \frac{\text{Matsakaicin Ribobi akan lokutan N}}{\text{Matsakaicin Asara akan lokutan N}}$.

RSI da ke ƙasa da 30 yawanci yana nuna yanayin da aka sayar (damar siyan dama), yayin da RSI sama da 70 ke nuna yanayin da aka sayar (damar siyar da dama).

2.1.2 Matsakaicin Matsakaici Mai Sauƙi (SMA), Matsakaicin Matsakaici na Exponential (EMA), MACD

SMA shine ma'anar da ba a auna ba na maki bayanai N da suka gabata. EMA yana ba da mafi yawan nauyi ga farashin kwanan nan. Matsakaicin Matsakaici na Haɗin Kai (MACD) alama ce mai bin yanayin motsi.

Tsari: $MACD = EMA(\text{12 lokuta}) - EMA(\text{26 lokuta})$.

Ana amfani da Layin Sigina (9-day EMA na MACD) don samar da siginonin ciniki. Haɗin kai tsakanin MACD da Layin Sigina yana nuna yuwuwar yanayin bijimi ko bearish.

2.1.3 Bollinger Bands

Bollinger Bands sun ƙunshi layin SMA na tsakiya tare da ƙungiyoyi biyu na waje da aka tsara a matakan daidaitattun karkace (yawanci 2). Suna auna sauyin kasuwa. Matsi (ƙunƙun ƙungiyoyi) sau da yawa yana gabatar da lokacin babban sauyi, yayin da motsin farashi a wajen ƙungiyoyin na iya nuna ci gaba ko juyawa.

3. Fahimtar Tsakiya & Kwararar Hankali

Fahimtar Tsakiya: Babbar caca ta takarda ita ce tsarin lokaci na farashi/alama tsantsa suna da gajeren hankali. Ta hanyar farko haɗawa irin waɗannan tsarin kasuwa (misali, babban sauyi da aka sayar, ƙarancin sauyi) sannan kuma a yi amfani da tsarin hankali a cikin waɗannan mahallin, tsarin zai iya ware siginar daga hayaniya fiye da cikakken hanyar sadarwar LSTM ko GRU. Wannan wani nau'i ne na tsarin yanayin da aka tsara—halayen hanyar sadarwar an tsara su a sarari akan yanayin kasuwar da aka gano.

Kwararar Hankali: Bututun yana da tsari mai kyau: 1) Injiniyan Fasali: Bayanan OHLC na danye an canza su zuwa cikakken saitin alamomin fasaha (RSI, MACD, matsayin Bollinger Band). 2) Haɗin Tsarin Mulki: Algorithm na haɗawa (mai yiwuwa K-Means ko Gaussian Mixture Model) yana raba lokutan tarihi zuwa jihohi daban-daban dangane da bayanan martaba. 3) Tsinkaya Mai Sanin Mahalli: Ga wani ma'anar bayanai, tsarin da farko ya gano haɗuwarsa. Sannan, tsarin jeri mai tushen hankali (kamar Transformer encoder) yana sarrafa tarihin kwanan nan, tare da nauyin hankalinsa mai yuwuwar zai zama daidaitacce ta hanyar ainihin haɗuwa, don tsinkaya yuwuwar komawar ma'ana mai riba daga yanayin da aka sayar.

4. Ƙarfi & Kurakurai

Ƙarfi:

• Sabon Tsarin Gine-gine: Matakin sarrafawa na haɗawa hanya ce mai amfani don gabatar da sarrafa rashin tsayawa, ciwon kai na gargajiya a cikin kuɗin ƙididdiga. Yana da fahimta fiye da fatan cibiyar sadarwa mai zurfi ta koyi tsarin mulki a ɓoye.
• Mai da hankali kan Yanayin Aiki: Mai da hankali kan yanayin "da aka sayar" ƙuntatawa ce mai hikima. Yana juya matsalar tsinkaya mai buɗe ido zuwa ƙarin rarrabuwa na binary: "Shin wannan siginar da aka sayar a halin yanzu damar siyan gaskiya ce ko tarko?"
• Tushe akan Ƙayyadaddun Alamomi: Amfani da sanannun alamomin fasaha a matsayin fasali yana sa shigarwar tsarin ta fahimci 'yan kasuwa na gargajiya, yana sauƙaƙe yuwuwar karɓa.

Kurakurai & Gibin Mai Mahimmanci:

• Hatsarin Nuna Bambancin Bayanai: Bayanan 2005-2021 sun ƙunshi rikice-rikice da yawa (2008, COVID-19). Ba tare da cikakken binciken tafiya gaba ko gwajin samfurin a kan tsarin kasuwa da ba a gani gaba ɗaya ba (misali, 2022-2024 tare da yaƙi da hauhawar farashin kayayyaki), haɗarin wuce gona da iri yana da tsanani.
• Hankalin Akwatin Baƙar fata: Duk da yake yadudduka na hankali suna da ƙarfi, bayyana dalilin da ya sa tsarin ya halarci wasu lokutan da suka gabata yana da ƙalubale. A cikin kuɗin da aka tsara, "bayyanawa" ba kawai abin da ake so ba ne.
• Bacewar Tattaunawar Tushen Alpha: Takardar ba ta yi magana ba akan farashin ma'amala, zamewa, da sarrafa haɗari. Dabarar da ta yi kyau a cikin gwajin baya za a iya lalata ta ta hanyar rikice-rikice na zahiri. Shin gefen da aka tsinkaya ya tsira bayan farashi?

5. Fahimta Mai Aiki

Ga asusun ƙididdiga da 'yan kasuwa na algorithm:

1. Maimaita Hanyar Haɗin Tsarin Mulki: Kafin gina tsarin tsinkayar ku na gaba, raba bayanan tarihinku zuwa tsarin mulki. Wannan mataki mai sauƙi zai iya inganta kwanciyar hankali na tsarin sosai. Yi amfani da ma'auni kamar sauyi, ƙarfin yanayin, da haɗin kai don fasalin haɗawa.
2. Gwada Matsaloli akan "Canjin Tsarin Mulki": Kar a gwada kawai akan rabe-raben lokaci bazuwar. A hankali gwada aikin tsarin ku yayin sanannun canje-canjen tsarin mulki (misali, canjin zuwa rikicin 2008 ko rushewar COVID na 2020). Wannan shine gwajin gaskiya na gaskiya.
3. Haɗawa tare da Bayanan Tushe: Juyin halitta na gaba shine ciyar da algorithm ɗin haɗawa ba kawai alamomin fasaha ba har ma da guntun bayanan macro (yanayin bankin tsakiya daga labarai, bayanan lanƙwasa riba). Wannan zai iya ƙirƙirar ƙayyadaddun tsarin mulki mai ƙarfi.
4. Bukatar Bayyanawa: Aiwatar da kayan aiki kamar SHAP ko LIME don fassara nauyin hankali. Wane kwanaki na baya tsarin ya ɗauka mahimmanci ga tsinkayarsa? Wannan hanyar bincike tana da mahimmanci ga duka tabbatarwa da bin ka'idoji.

6. Bincike na Asali

Tsarin da aka gabatar yana wakiltar ƙoƙari mai zurfi don magance matsalar rashin tsayawa da ke tattare da jerin lokaci na kuɗi—kalubale da aka haskaka a cikin ayyukan farko kamar "Ci gaba a cikin Koyon Na'urar Kuɗi" na Marcos López de Prado. Ta hanyar amfani da haɗawa a matsayin matakin sarrafawa don gano tsarin kasuwa daban-daban, marubutan sun ƙirƙiri gine-gine na yanayin yadda ya kamata. Wannan a zahiri ya fi dacewa da ciyar da bayanan jeri na danye cikin LSTM guda ɗaya, wanda sau da yawa yakan yi gwagwarmaya don daidaita yanayinsa na ciki zuwa canje-canjen kasuwa, kamar yadda aka lura a cikin nazarin da ke kwatanta RNNs na gargajiya tare da ƙarin gine-gine na zamani don kuɗi (misali, Borovkova & Tsiamas, 2019).

Haɗin tsarin hankali, mai yiwuwa an yi wahayi zuwa gare shi ta nasarar Transformers a cikin NLP (Vaswani et al., 2017), yana ba da damar tsarin don auna mahimmancin maki tarihi daban-daban. A cikin mahallin siginar RSI da aka sayar, tsarin zai iya koyon halartar abubuwan da suka faru na baya da aka sayar waɗanda suka biyo baya da juyawa, yayin da yake watsi da waɗanda suka haifar da ƙarin raguwa. Wannan zaɓin mai da hankali shine babban ci gaba akan matsakaicin motsi wanda ke kula da duk bayanan da suka gabata daidai.

Duk da haka, yuwuwar tsarin yana dogara da inganci da wakilcin bayanan horonsa. Lokacin 2005-2021 ya haɗa da takamaiman tsarin sauyi. Tsarin da aka horar da wannan bayanin na iya kasawa yayin sabon tsarin mulki, kamar yanayin hauhawar farashin kayayyaki, yanayin riba mai yawa bayan 2022—wani abu mai kama da matsalolin canjin yanki da aka tattauna a cikin adabin koyon na'ura (misali, a cikin hangen nesa na kwamfuta tare da CycleGAN (Zhu et al., 2017), amma daidai mahimmanci a cikin kuɗi). Bugu da ƙari, duk da yake alamomin fasaha suna da daraja, a ƙarshe suna jinkiri. Haɗa hanyoyin bayanai madadin, kamar yadda manyan asusun shinge kamar Two Sigma suke yi, zai iya zama tsalle na gaba da ake buƙata. Gwajin gaskiya na wannan gine-gine zai kasance ikonsa na haɗawa ga tsarin kasuwa da ba a gani ba da aikin sa bayan duk farashin ciniki.

7. Cikakkun Bayanai na Fasaha & Tsarin Lissafi

Sabon fasaha na tsakiya yana kwance a cikin tsarin tsarin mataki biyu.

Mataki na 1: Haɗin Tsarin Kasuwa
Bari $\mathbf{F}_t = [f^1_t, f^2_t, ..., f^m_t]$ ya zama vector fasali a lokacin $t$, yana ɗauke da ƙimar da aka daidaita na alamomin fasaha (RSI, MACD, matsayin Bollinger Band, sauyi, da sauransu). Algorithm ɗin haɗawa $C$ (misali, K-Means tare da $k$ clusters) yana raba bayanan tarihi zuwa $k$ tsarin mulki:
$C(\mathbf{F}_t) = r_t \in \{1, 2, ..., k\}$.
Kowane cluster $r$ yana wakiltar yanayin kasuwa daban-daban (misali, "babban yanayin bijimi," "ƙarancin sauyi mai iyaka," "da aka sayar babban sauyi").

Mataki na 2: Tsinkaya ta Jerin Hankali
Don jerin vectors fasali na kwanan nan $\mathbf{X} = [\mathbf{F}_{t-n}, ..., \mathbf{F}_{t-1}, \mathbf{F}_t]$ da alamar tsarin mulki mai alaƙa $r_t$, tsarin yana nufin tsinkaya $y_t$ (misali, alamar binary don haɓakar farashi bayan siginar da aka sayar). Tsarin hankali yana lissafta vector mahallin $\mathbf{c}_t$ a matsayin jimlar nauyin jerin shigarwa:
$\mathbf{c}_t = \sum_{i=t-n}^{t} \alpha_i \mathbf{h}_i$,
inda $\mathbf{h}_i$ wakilci ne na ɓoye na $\mathbf{F}_i$, kuma nauyin hankali $\alpha_i$ ana lissafta su ta:
$\alpha_i = \frac{\exp(\text{maki}(\mathbf{h}_t, \mathbf{h}_i))}{\sum_{j=t-n}^{t} \exp(\text{maki}(\mathbf{h}_t, \mathbf{h}_j))}$.
Aikin maki zai iya zama samfurin digo mai sauƙi ko aikin da aka koya. Tsarin mulki $r_t$ ana iya haɗa shi azaman haɗawa wanda ke tasiri yanayin ɓoye na farko ko aikin maki na hankali, yana sa hankalin tsarin ya zama yanayin akan yanayin kasuwa.

8. Tsarin Bincike & Misalin Hali

Yanayin: Nau'in EUR/USD, Oktoba 15, 2020. RSI ya faɗi zuwa 28, yana nuna yanayin da aka sayar.

Aikace-aikacen Tsarin:

1. Cire Fasali: Lissafta vector fasali $\mathbf{F}_t$: RSI=28, MACD histogram mara kyau amma yana tashi, farashi yana taɓa ƙananan Bollinger Band, sauyi na kwanaki 30 = 8%.
2. Rarraba Tsarin Mulki: Tsarin haɗawa, wanda aka horar da bayanan 2005-2019, ya ɗauki $\mathbf{F}_t$ kuma ya sanya shi zuwa Cluster #3, wanda aka yiwa lakabin "An sayar a cikin Matsakaicin Sauyi tare da Ƙarfin Ƙarfi na Ƙasa."
3. Tsinkaya Mai Sanin Mahalli: Mai tsinkaya mai tushen hankali, yanzu an tsara shi musamman akan "Cluster #3," yana nazarin kwanaki 20 da suka gabata na bayanai. Layer na hankali na iya ba da nauyi mai yawa ga kwanaki 5 da 12 da suka gabata, waɗanda ke da irin wannan bayanan martaba kuma sun biyo baya da sake dawowar farashi na 2% a cikin kwanaki 5.
4. Fitowa: Tsarin yana fitar da babban yuwuwar (misali, 72%) na ciniki mai nasara na komawar ma'ana (haɓakar farashi >1% a cikin kwanaki 3). Wannan yana ba da siginar ƙididdiga, mai cike da mahalli fiye da ƙa'idar "RSI < 30" mai sauƙi.

Lura: Wannan misali ne na ra'ayi. Hankalin tsarin ainihin zai kasance da ma'anar sigogin da aka horar.

9. Aikace-aikace na Gaba & Jagorori

Tsarin da aka gabatar yana da hanyoyi masu ban sha'awa don faɗaɗawa:

• Tsarin Mulki na Kaya da Kasuwa: Aiwatar da haɗawa iri ɗaya ga kayan da ke da alaƙa (misali, manyan FX, fihirisa, kayayyaki) don gano tsarin kuɗi na duniya, inganta kimanta haɗarin tsarin.
• Haɗawa tare da Bayanan Madadin: Haɗa makin yanayin labarai na ainihin lokaci (daga tsarin NLP) ko sautin sadarwar bankin tsakiya cikin vector fasali $\mathbf{F}_t$ don haɗawa, ƙirƙirar tsarin mulki da aka ayyana ta hanyar yanayin fasaha da na tushe.
• Haɗin Koyon Ƙarfafawa (RL): Yi amfani da tsarin haɗawa-hankali azaman ɓangaren wakilcin yanayi a cikin wakilin RL wanda ke koyon manufofin ciniki mafi kyau (shiga, fita, girman matsayi) ga kowane tsarin mulki da aka gano, motsawa daga tsinkaya zuwa ingantaccen dabarar kai tsaye.
• Bayyananniyar AI (XAI) don Tsari: Haɓaka musaya bayyanawa bayan haka waɗanda ke nuna a sarari: "An kunna wannan siginar ciniki saboda kasuwa tana cikin Tsarin Mulki X, kuma tsarin ya mai da hankali kan alamu na tarihi A, B, da C." Wannan yana da mahimmanci don karɓa a cikin cibiyoyin da aka tsara.
• Koyon Kan layi na Daidaitawa: Aiwatar da hanyoyin don tsarin haɗawa don sabunta ƙari tare da sabbin bayanai, yana ba shi damar gane da daidaitawa ga sabbin tsarin kasuwa gaba ɗaya a ainihin lokaci, rage haɗarin lalata tsarin.

10. Nassoshi

1. López de Prado, M. (2018). Ci gaba a cikin Koyon Na'urar Kuɗi. Wiley.
2. Vaswani, A., da sauransu. (2017). Hankali Duk Abinda Kake Bukata. Ci gaba a cikin Tsarin Bayanai na Neural 30 (NIPS 2017).
3. Borovkova, S., & Tsiamas, I. (2019). Ƙungiyar hanyoyin sadarwar jijiyoyi na LSTM don rarraba kasuwar hannun jari mai yawan mita. Jaridar Tsinkaya, 38(6), 600-619.
4. Zhu, J.-Y., da sauransu. (2017). Fassarar Hoton-da-Hoto mara Haɗin gwiwa ta amfani da Cibiyoyin Adawa na Haɗin kai. Babban Taron Kwamfuta na IEEE (ICCV).
5. Murphy, J. J. (1999). Binciken Fasaha na Kasuwannin Kuɗi. Cibiyar Kuɗi ta New York.
6. Investopedia. (ba a sani ba). Alamomin Fasaha. An samo daga https://www.investopedia.com.