Parallell Evolution of Trading Strategies Based on Binary Classification Using Sub-Machine-Code Genetic Programming
Created by W.Langdon from
gp-bibliography.bib Revision:1.8081
- @InProceedings{svangard:2002:SEAL,
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author = "Nils Svangard and Peter Nordin and Stefan Lloyd",
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title = "Parallell Evolution of Trading Strategies Based on
Binary Classification Using Sub-Machine-Code Genetic
Programming",
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booktitle = "Proceedings of the 4th Asia-Pacific Conference on
Simulated Evolution And Learning (SEAL'02)",
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year = "2002",
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editor = "Lipo Wang and Kay Chen Tan and Takeshi Furuhashi and
Jong-Hwan Kim and Xin Yao",
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address = "Orchid Country Club, Singapore",
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month = "18-22 " # nov,
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keywords = "genetic algorithms, genetic programming",
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ISBN = "981-04-7522-5",
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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",
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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.",
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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