GP-evolved Technical Trading Rules Can Outperform Buy and Hold

Created by W.Langdon from gp-bibliography.bib Revision:1.3973

@InProceedings{becker:2003:CINC,
  author =       "Lee A. Becker and Mukund Seshadri",
  title =        "GP-evolved Technical Trading Rules Can Outperform Buy
                 and Hold",
  booktitle =    "Proceedings of the Sixth International Conference on
                 Computational Intelligence and Natural Computing",
  year =         "2003",
  address =      "Embassy Suites Hotel and Conference Center, Cary,
                 North Carolina USA",
  month =        sep # " 26-30",
  keywords =     "genetic algorithms, genetic programming",
  URL =          "http://www.cs.ucl.ac.uk/staff/W.Yan/gp-evolved-technical-trading.pdf",
  size =         "4 pages",
  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-penalising factor, a fitness
                 function that considers consistency of performance, and
                 coevolution of a separate buy and sell rule.",
  notes =        "http://axon.cs.byu.edu/Dan/cinc03.html/index.html/

                 Broken Jan 2013 http://www.ee.duke.edu/JCIS/

                 Worcester Polytechnic Institute",
}

Genetic Programming entries for Lee A Becker Mukund Seshadri

Citations