Development of Trading Systems using Genetic Programming with a Case Study

Language: English

Published by Examicus Verlag, GRIN Verlag Mär 2012, 2012

3869432039 / 9783869432038

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This item is printed on demand - Print on Demand Titel. Neuware -Diploma Thesis from the year 2007 in the subject Computer Science - Programming, grade: 1.7, University of Hamburg, language: English, abstract: In this thesis Genetic Progrmming 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.Books on Demand GmbH, Überseering 33, 22297 Hamburg 100 pp. Englisch.…

Seller Inventory # 9783869432038

Title
Development of Trading Systems using Genetic Programming with a Case Study
Author
Holger Hartmann
Publisher
Examicus Verlag, GRIN Verlag Mär 2012
Publication year
2012
Condition
Neu
Binding
Taschenbuch
Language
English
ISBN 10
3869432039
ISBN 13
9783869432038
Item weight
157 grams
Dimensions
210x148x8 mm

buchversandmimpf2000

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