Outperforming Buy-and-Hold with Evolved Technical Trading Rules: Daily, Weekly and Monthly Trading

Created by W.Langdon from gp-bibliography.bib Revision:1.4208

  author =       "Dome Lohpetch and David Corne",
  title =        "Outperforming Buy-and-Hold with Evolved Technical
                 Trading Rules: Daily, Weekly and Monthly Trading",
  booktitle =    "EvoFIN",
  year =         "2010",
  editor =       "Cecilia {Di Chio} and Anthony Brabazon and 
                 Gianni A. {Di Caro} and Marc Ebner and Muddassar Farooq and 
                 Andreas Fink and Jorn Grahl and Gary Greenfield and 
                 Penousal Machado and Michael O'Neill and 
                 Ernesto Tarantino and Neil Urquhart",
  volume =       "6025",
  series =       "LNCS",
  pages =        "171--181",
  address =      "Istanbul",
  month =        "7-9 " # apr,
  organisation = "EvoStar",
  publisher =    "Springer",
  keywords =     "genetic algorithms, genetic programming",
  isbn13 =       "978-3-642-12241-5",
  DOI =          "doi:10.1007/978-3-642-12242-2_18",
  abstract =     "Genetic programming (GP) is increasingly popular as a
                 research tool for applications in finance and
                 economics. One thread in this area is the use of GP to
                 discover effective technical trading rules. In a
                 seminal article, Allen & Karjalainen (1999) used GP to
                 find rules that were profitable, but were nevertheless
                 outperformed by the simple buy and hold trading
                 strategy. Many succeeding attempts have reported
                 similar findings. There are a small handful of cases in
                 which such work has managed to find rules that
                 outperform buy-and-hold, but these have tended to be
                 difficult to replicate. Recently, however, Lohpetch &
                 Corne (2009) investigated work by Becker & Seshadri
                 (2003), which showed out performance of buy-and-hold.
                 In turn, Becker & Seshadri's work had made several
                 modifications to Allen & Karjalainen's work, including
                 the adoption of monthly rather than daily trading.
                 Lohpetch et al (2009) provided a replicable account of
                 this, and also showed how further modifications enabled
                 fairly reliable out performance of buy-and-hold. It
                 remained unclear, however, whether adoption of monthly
                 trading is necessary to achieve robust out performance
                 of buy-and-hold. Here we investigate and compare each
                 of daily, weekly and monthly trading; we find that
                 outperformance of buy-and-hold can be achieved even for
                 daily trading, but as we move from monthly to daily
                 trading the performance of evolved rules becomes
                 increasingly dependent on prevailing market
  notes =        "EvoFIN'2010 held in conjunction with EuroGP'2010
                 EvoCOP2010 EvoBIO2010",

Genetic Programming entries for Dome Lohpetch David W Corne