Intraday Trading of Precious Metals Futures Using Algorithmic Systems

In this research we designed and optimized Artificial Intelligence (AI) trading systems for intraday trading of five precious metals. We used data from the beginning of 2020 till the end of September 2021 to design and optimize trading systems using Relative Strength Index (RSI) and Keltner Channels (KC) oscillators. Our prime optimization tool was Particle Swam Optimization (PSO) which helped us to conduct complex optimization with multiple objectives and under many constraints' variables. We find that the RSI system outperformed the B&H returns for Gold, Silver, Platinum and Palladium and was beaten by the B&H returns for Copper trades. The system has delivered 106.2%, 63.7%, 22.4% and 326.3% excess returns for Gold, Silver, Platinum and Palladium. Sixty minutes bars with 1.5 Average True rang Multiplier (MATR) have been found to be a fruitful configuration for the KC system trading Gold, Silver and Palladium providing better trading returns than the B&H strategy, by 64.72%, 58.5% and 310.25%, respectively. Both RSI and KC AI systems have been proven to be able to trade profitably precious metals with both long and short positions, in most cases the system performed better in for long trades than for short trades. (C) 2021 Elsevier Ltd. All rights reserved.

Automated summary

In this research, AI trading systems for intraday trading of five precious metals were designed and optimized. The systems outperformed the B&H returns for Gold, Silver, Platinum and Palladium trades, delivering significant excess returns. Specific configurations of the systems were found to provide better trading returns compared to the buy and hold strategy.