ArTS Archivio della ricerca di Trieste
ArTS è il sistema di gestione integrata dei dati della ricerca adottato dall' Università degli Studi di Trieste
EnglishIn this paper, I propose a genetic learning approach to generate technical trading systems for stock timing. The most informative technical indicators are selected from a set of almost 5000 signals by a multi-objective genetic algorithm with variable string length. Successively, these signals are combined into a unique trading signal by a learning method. I test the expert weighting solution obtained by the plurality voting committee, the Bayesian model averaging and Boosting procedures with data from the S&P 500 Composite Index, in three market phases, up-trend, down-trend and sideways-movements, covering the period 2000-2006. Computational results indicate that the near-optimal set of rules varies among market phases but presents stable results and is able to reduce or eliminate losses in down-trend periods.
| Titolo: | Investment using evolutionary learning methods and technical rules | |
| Autori: | ||
| Data di pubblicazione: | 2010 | |
| Rivista: | ||
| Abstract: | In this paper, I propose a genetic learning approach to generate technical trading systems for stock timing. The most informative technical indicators are selected from a set of almost 5000 signals by a multi-objective genetic algorithm with variable string length. Successively, these signals are combined into a unique trading signal by a learning method. I test the expert weighting solution obtained by the plurality voting committee, the Bayesian model averaging and Boosting procedures with data from the S&P 500 Composite Index, in three market phases, up-trend, down-trend and sideways-movements, covering the period 2000-2006. Computational results indicate that the near-optimal set of rules varies among market phases but presents stable results and is able to reduce or eliminate losses in down-trend periods. | |
| Handle: | http://hdl.handle.net/11368/2727690 | |
| Digital Object Identifier (DOI): | http://dx.doi.org/10.1016/j.ejor.2010.07.008 | |
| Appare nelle tipologie: | 1.1 Articolo in Rivista |
File in questo prodotto:
http://hdl.handle.net/11368/2727690
