Development of Trading Systems using Genetic Programming with a Case Study
Hartmann, Holger
ISBN 10: 3638913821 ISBN 13: 9783638913829
Published by Grin Verlag, 2008
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Soft cover
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California Books, Miami, FL, U.S.A.
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Diploma Thesis from the year 2007 in the subject Business economics - Banking, Stock Exchanges, Insurance, Accounting, grade: 1,7, University of Hamburg (Department Informatik), language: English, abstract: In this thesis Genetic Programming is used to create trading systems for the EUR/USD foreign exchange market using intraday data. In addition to the exchange rates several moving averages are used as inputs. The developed evolutionary algorithm extends the framework ECJ. The created trading systems are being evaluated by a fitness function that consists of a trading simulation. Genetic operators have been adapted to support "node weights". By using these on the one hand macromutaion is tried to be reduced on the other hand the interpretability of the created trading systems is tried to be improved. Results of experiments show that created trading systems are apparently successfull in profitably using informations contained within the exchange rates. Profits of the created trading systems are maximized by using the optimal position size. It is shown that if the minimum investment period is met the achieved results are optimal even when taking into account the used risk adjusted performance figure.
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Bibliographic Details
Title: Development of Trading Systems using Genetic...
Publisher: Grin Verlag
Publication Date: 2008
Binding: Soft cover
Condition: New