Outperforming Buy-and-Hold with Evolved Technical Trading Rules: Daily, Weekly and Monthly Trading
Created by W.Langdon from
gp-bibliography.bib Revision:1.8098
- @InProceedings{Lohpetch:2010:EvoFIN,
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author = "Dome Lohpetch and David Corne",
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title = "Outperforming Buy-and-Hold with Evolved Technical
Trading Rules: Daily, Weekly and Monthly Trading",
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booktitle = "EvoFIN",
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year = "2010",
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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",
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volume = "6025",
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series = "LNCS",
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pages = "171--181",
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address = "Istanbul",
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month = "7-9 " # apr,
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organisation = "EvoStar",
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publisher = "Springer",
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keywords = "genetic algorithms, genetic programming",
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isbn13 = "978-3-642-12241-5",
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DOI = "doi:10.1007/978-3-642-12242-2_18",
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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.",
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notes = "EvoFIN'2010 held in conjunction with EuroGP'2010
EvoCOP2010 EvoBIO2010",
- }
Genetic Programming entries for
Dome Lohpetch
David W Corne
Citations