GP-evolved Technical Trading Rules Can Outperform Buy and Hold
نویسندگان
چکیده
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.
منابع مشابه
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