Outperforming Buy-and-Hold with Evolved Technical Trading Rules: Daily, Weekly and Monthly Trading

Created by W.Langdon from gp-bibliography.bib Revision:1.7615

@InProceedings{Lohpetch:2010:EvoFIN,

• author = "Dome Lohpetch and David Corne",
• title = "Outperforming Buy-and-Hold with Evolved Technical Trading Rules: Daily, Weekly and Monthly Trading",
• booktitle = "EvoFIN",
• year = "2010",
• editor = "Cecilia {Di Chio} and Anthony Brabazon and Gianni A. {Di Caro} and Marc Ebner and Muddassar Farooq and Andreas Fink and Jorn Grahl and Gary Greenfield and Penousal Machado and Michael O'Neill and Ernesto Tarantino and Neil Urquhart",
• volume = "6025",
• series = "LNCS",
• pages = "171--181",
• address = "Istanbul",
• month = "7-9 " # apr,
• organisation = "EvoStar",
• publisher = "Springer",
• keywords = "genetic algorithms, genetic programming",
• isbn13 = "978-3-642-12241-5",
• DOI = "doi:10.1007/978-3-642-12242-2_18",
• abstract = "Genetic programming (GP) is increasingly popular as a research tool for applications in finance and economics. One thread in this area is the use of GP to discover effective technical trading rules. In a seminal article, Allen & Karjalainen (1999) used GP to find rules that were profitable, but were nevertheless outperformed by the simple buy and hold trading strategy. Many succeeding attempts have reported similar findings. There are a small handful of cases in which such work has managed to find rules that outperform buy-and-hold, but these have tended to be difficult to replicate. Recently, however, Lohpetch & Corne (2009) investigated work by Becker & Seshadri (2003), which showed out performance of buy-and-hold. In turn, Becker & Seshadri's work had made several modifications to Allen & Karjalainen's work, including the adoption of monthly rather than daily trading. Lohpetch et al (2009) provided a replicable account of this, and also showed how further modifications enabled fairly reliable out performance of buy-and-hold. It remained unclear, however, whether adoption of monthly trading is necessary to achieve robust out performance of buy-and-hold. Here we investigate and compare each of daily, weekly and monthly trading; we find that outperformance of buy-and-hold can be achieved even for daily trading, but as we move from monthly to daily trading the performance of evolved rules becomes increasingly dependent on prevailing market conditions.",
• notes = "EvoFIN'2010 held in conjunction with EuroGP'2010 EvoCOP2010 EvoBIO2010",

}

Genetic Programming entries for Dome Lohpetch David W Corne

Citations