Evolving Market Index Trading Rules using Grammatical Evolution (2001)
by
Michael O'Neill
,
Anthony Brabazon
,
Conor Ryan
,
J. J. Collins
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@MISC{O'Neill01evolvingmarket,
author = {Michael O'Neill and Anthony Brabazon and Conor Ryan and J. J. Collins},
title = {Evolving Market Index Trading Rules using Grammatical Evolution},
year = {2001}
}
author = {Michael O'Neill and Anthony Brabazon and Conor Ryan and J. J. Collins},
title = {Evolving Market Index Trading Rules using Grammatical Evolution},
year = {2001}
}
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Abstract:
This study examines the potential of an evolutionary automatic programming methodology to uncover a series of useful technical trading rules for the UK FTSE 100 stock index. Index values for the period 26/4/1984 to 4/12/1997 are used to train and test the model. The preliminary ndings indicate that the methodology has much potential, outperforming the benchmark strategy adopted.
