Phenotype-Object Programming, Phenotype-Array Datatype, and an Evolutionary Signal-Ensemble FX Trading Model
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- @InProceedings{nacaskul:1997:pop,
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author = "Poomjai Nacaskul",
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title = "Phenotype-Object Programming, Phenotype-Array
Datatype, and an Evolutionary Signal-Ensemble FX
Trading Model",
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booktitle = "ET'97 Theory and Application of Evolutionary
Computation",
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year = "1997",
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editor = "Chris Clack and Kanta Vekaria and Nadav Zin",
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pages = "95--108",
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address = "University College London, UK",
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month = "15 " # dec,
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keywords = "genetic algorithms, genetic programming",
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URL = "http://www.cs.ucl.ac.uk/isrg//et97/papers.htm#poomjai",
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abstract = "We set out to optimise a financial trading model which
uses an ensemble of time-series trend indicating
signal-models. The optimisation search is combinatorial
over the combination of signal-model classes as well as
parametric over the parameterisation of individual
signal-model objects. Because the optimisation
objective (net gain from simulated transactions against
a historical price series) is not differentiable w.r.t.
our trading model space, we look to evolutionary
optimisation [EO] methodologies [Fogel, 1994], e.g.
Genetic Algorithm [GA] [Holland, 1975/92], which rely
on direct solution performance evaluation. However,
because the multi-stage nature of our solution space
prohibits stochastic-evolutionary convergence, we need
to engineer a new EO paradigm to implement
combinatorial and parametric search processes
concurrently. This, we accomplish by exploiting the
inherently object-oriented [OO] [Booch, 1994;
Stroustrup, 1991] nature of an EO algorithm and of the
combinatorial-parametric solutions. We propose
Phenotype-Object Programming [POP] as a generalised OO
model and implementation of an EO algorithm and
Phenotype-Array Datatype [PAD] as a generalised OO
model and implementation of a combinatorial-parametric
solution [Nacaskul, 1997]. We apply this to our
signal-ensemble trading model and discuss experimental
results on DEM/JPY and USD/DEM data.",
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notes = "http://www.cs.ucl.ac.uk/isrg/et97/",
- }
Genetic Programming entries for
Poomjai Nacaskul
Citations