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Computational intelligence algorithms for risk-adjusted trading strategies.

Pavlidis, Nicos and Pavlidis, Efthymios and Epitropakis, Michael and Plagianakos, Vasilis and Vrahatis, Michael (2008) Computational intelligence algorithms for risk-adjusted trading strategies. In: IEEE Congress on Evolutionary Computation CEC 2007. IEEE, Singapore, pp. 540-547. ISBN 978-1-4244-1339-3

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    Abstract

    This paper investigates the performance of trading strategies identified through Computational Intelligence techniques. We focus on trading rules derived by Genetic Programming, as well as, Generalized Moving Average rules optimized through Differential Evolution. The performance of these rules is investigated using recently proposed risk–adjusted evaluation measures and statistical testing is carried out through simulation. Overall, the moving average rules proved to be more robust, but Genetic Programming seems more promising in terms of generating higher profits and detecting novel patterns in the data.

    Item Type: Contribution in Book/Report/Proceedings
    Additional Information: "©2008 IEEE. Personal use of this material is permitted. However, permission to reprint/republish this material for advertising or promotional purposes or for creating new collective works for resale or redistribution to servers or lists, or to reuse any copyrighted component of this work in other works must be obtained from the IEEE." "This material is presented to ensure timely dissemination of scholarly and technical work. Copyright and all rights therein are retained by authors or by other copyright holders. All persons copying this information are expected to adhere to the terms and constraints invoked by each author's copyright. In most cases, these works may not be reposted without the explicit permission of the copyright holder."
    Subjects: H Social Sciences > HB Economic Theory
    Departments: Lancaster University Management School > Management Science
    Lancaster University Management School > Economics
    ID Code: 39677
    Deposited By: Efthymios Pavlidis
    Deposited On: 03 Feb 2011 09:46
    Refereed?: No
    Published?: Published
    Last Modified: 09 Apr 2014 20:43
    Identification Number:
    URI: http://eprints.lancs.ac.uk/id/eprint/39677

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