- author = "Lee A. Becker and Mukund Seshadri",
- title = "GP-evolved Technical Trading Rules Can Outperform Buy and Hold",
- booktitle = "Proceedings of the Sixth International Conference on Computational Intelligence and Natural Computing",
- year = "2003",
- address = "Embassy Suites Hotel and Conference Center, Cary, North Carolina USA",
- month = sep # " 26-30",
- keywords = "genetic algorithms, genetic programming",
-
URL = "
http://www.cs.ucl.ac.uk/staff/W.Yan/gp-evolved-technical-trading.pdf",
- size = "4 pages",
- abstract = "This paper presents a number of experiments in which GP-evolved technical trading rules outperform a buy-and-hold strategy on the S&P500, even taking into account transaction costs. Several methodology changes from previous work are discussed and tested. These include a complexity-penalising factor, a fitness function that considers consistency of performance, and coevolution of a separate buy and sell rule.",
-
notes = "http://axon.cs.byu.edu/Dan/cinc03.html/index.html/
Broken Jan 2013 http://www.ee.duke.edu/JCIS/
Worcester Polytechnic Institute",
