- author = "xinpeng long and Michael Kampouridis and Panagiotis Kanellopoulos",
- title = "Multi-objective optimisation and genetic programming for trading by combining directional changes and technical indicators",
- booktitle = "2023 IEEE Congress on Evolutionary Computation (CEC)",
- year = "2023",
- editor = "Gui DeSouza and Gary Yen",
- address = "Chicago, USA",
- month = "1-5 " # jul,
- keywords = "genetic algorithms, genetic programming, Directional changes, Algorithmic trading, Multi-objective optimisation, technical analysis",
- isbn13 = "979-8-3503-1459-5",
-
URL = "
https://repository.essex.ac.uk/35462/",
-
URL = "
https://repository.essex.ac.uk/35462/1/IEEE_CEC_2023_xinpeng.pdf",
-
DOI = "
doi:10.1109/CEC53210.2023.10254034",
- size = "8 pages",
- abstract = "... we compare the proposed strategy against GP-based single objective optimisation (SOO) and buy-and-hold strategies. Our results show that the proposed approach significantly improves the cumulative return compared to SOO, from 14.29 percent to 62.04 percent, while also outperforming the buy-and-hold strategy.",
-
notes = "
School of Computer Science and Electronic Engineering, University of Essex, Wivenhoe Park, United Kingdom
CEC2023 https://2023.ieee-cec.org/program-html/",
