Parallell Evolution of Trading Strategies Based on Binary Classification Using Sub-Machine-Code Genetic Programming

Created by W.Langdon from gp-bibliography.bib Revision:1.8120

@InProceedings{svangard:2002:SEAL,

• author = "Nils Svangard and Peter Nordin and Stefan Lloyd",
• title = "Parallell Evolution of Trading Strategies Based on Binary Classification Using Sub-Machine-Code Genetic Programming",
• booktitle = "Proceedings of the 4th Asia-Pacific Conference on Simulated Evolution And Learning (SEAL'02)",
• year = "2002",
• editor = "Lipo Wang and Kay Chen Tan and Takeshi Furuhashi and Jong-Hwan Kim and Xin Yao",
• address = "Orchid Country Club, Singapore",
• month = "18-22 " # nov,
• keywords = "genetic algorithms, genetic programming",
• ISBN = "981-04-7522-5",
• URL = "http://www.worldcat.org/title/seal02-proceedings-of-the-4th-asia-pacific-conference-on-simulated-evolution-and-learning-november-18-22-2002-orchid-country-club-singapore/oclc/51951214",
• abstract = "In this paper we represent the market as a binary classification problem and evolve two trading strategies that look for buy and sell opportunities in parallel. Investment decisions are then based on both strategies using different voting systems. Our system uses a large number binary signals based technical analysis as input. This allows us to increase the execution speed over 100 times using a sub-machine-code genetic programming system that evaluate 128 fitness cases in parallel. We believe that this is the first work that explicitly treats trading as a classification problem and uses sub-machine-code genetic programming to evolve multiple trading strategies used in a voting system. The strategies we find generalise well and outperform the buy-and-hold strategy on unseen data. We find that the multiple strategy voting system reduces risk but also the return on investment. We also find several correlations between instruments from technical analysis and the future share price that appear frequently in the most successful strategies.",
• notes = "SEAL 2002 see http://citeseerx.ist.psu.edu/viewdoc/download?doi=10.1.1.200.6410&rep=rep1&type=pdf",

}

Genetic Programming entries for Nils Svangard Peter Nordin Stefan Lloyd

Citations