Abstract
This paper deals with the development of a method for generating input and output signals in the Spanish stock market. It is based on the application of set of simple trading rules optimized by genetic programming. To this aim we use the HeuristicLab software. To evaluate the performance of our method we make a comparison with other traditional methods such as Buy & Hold and Simple Moving Averages Crossover. We study three different market scenarios: bull market, bear market and sideways market. Empirical test series show that market global behavior has a great influence on the results of each method and that strategies based on genetic programming perform best in the sideways market.
Author supplied keywords
Cite
CITATION STYLE
Luengo, S., Winkler, S., Barrero, D. F., & Castaño, B. (2015). Optimization of trading rules for the spanish stock market by genetic programming. In Lecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics) (Vol. 9101, pp. 623–634). Springer Verlag. https://doi.org/10.1007/978-3-319-19066-2_60
Register to see more suggestions
Mendeley helps you to discover research relevant for your work.
