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.
Becker, Lee A.
, Seshadri, Mukund
(2003). GP-evolved Technical Trading Rules Can Outperform Buy and Hold. .
Retrieved from: https://digitalcommons.wpi.edu/computerscience-pubs/147