Document Type

Other

Publication Date

4-2003

Abstract

This paper presents a number of experiments in which GP-evolved technical trading rules outperform a buy-and-hold strategy on the S&P500, even taking into account transaction costs. Several methodology changes from previous work are discussed and tested. These include a complexity-penalizing factor, a fitness function that considers consistency of performance, and coevolution of a separate buy and sell rule.

DOI

WPI-CS-TR-03-16

Share

 
COinS