Robustness Test of Genetic Algorithm on Generating Rules for Currency Trading
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- @Article{DENG:2012:PCS,
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author = "Shangkun Deng and Yizhou Sun and Akito Sakurai",
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title = "Robustness Test of Genetic Algorithm on Generating
Rules for Currency Trading",
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journal = "Procedia Computer Science",
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volume = "13",
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pages = "86--98",
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year = "2012",
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note = "Proceedings of the International Neural Network
Society Winter Conference (INNS-WC2012)",
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keywords = "genetic algorithms, genetic programming, Optimisation
algorithm, Foreign exchange, Robustness test, Technical
analysis, Financial prediction",
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ISSN = "1877-0509",
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DOI = "doi:10.1016/j.procs.2012.09.117",
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URL = "http://www.sciencedirect.com/science/article/pii/S1877050912007247",
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abstract = "In trading in currency markets, reducing te mean of
absolute or squared errors of predicted values is not
valuable unless it results in profits. A trading rule
is a set of conditions that describe when to buy or
sell a currency or to close a position, which can be
used for automated trading. To optimise the rule to
obtain a profit in the future, a probabilistic method
such as a genetic algorithm (GA) or genetic programming
(GP) is used, since the profit is a discrete and
multimodal function with many parameters. Although the
rules optimised by GA/GP reportedly obtain a profit in
out-of-sample testing periods, it is hard to believe
that they yield a profit in distant out-of-sample
periods. In this paper, we first consider a framework
where we optimise the parameters of the trading rule in
an in-sample training period, and then execute trades
according to the rule in its succeeding out-of-sample
period. We experimentally show that the framework very
often results in a profit. We then consider a framework
in which we conduct optimization as above and then
execute trades in distant out-of-sample periods. We
empirically show that the results depend on the
similarity of the trends in the training and testing
periods.",
- }
Genetic Programming entries for
Shangkun Deng
Yizhou Sun
Akito Sakurai
Citations