Development of Trading Systems using Genetic Programming with a Case Study - Tapa blanda

Hartmann, Holger

 
9783638913829: Development of Trading Systems using Genetic Programming with a Case Study
Tapa blanda
ISBN 10: 3638913821 ISBN 13: 9783638913829
Editorial: 0, 2008

Sinopsis

Diploma Thesis from the year 2007 in the subject Business economics - Banking, Stock Exchanges, Insurance, Accounting, grade: 1,7, University of Hamburg (Department Informatik), language: English, abstract: In this thesis Genetic Programming is used to create trading systems for the EUR/USD foreign exchange market using intraday data. In addition to the exchange rates several moving averages are used as inputs. The developed evolutionary algorithm extends the framework ECJ. The created trading systems are being evaluated by a fitness function that consists of a trading simulation. Genetic operators have been adapted to support "node weights". By using these on the one hand macromutaion is tried to be reduced on the other hand the interpretability of the created trading systems is tried to be improved. Results of experiments show that created trading systems are apparently successfull in profitably using informations contained within the exchange rates. Profits of the created trading systems are maximized by using the optimal position size. It is shown that if the minimum investment period is met the achieved results are optimal even when taking into account the used risk adjusted performance figure.

"Sinopsis" puede pertenecer a otra edición de este libro.

Reseña del editor

Diploma Thesis from the year 2007 in the subject Business economics - Banking, Stock Exchanges, Insurance, Accounting, grade: 1,7, University of Hamburg (Department Informatik), 69 entries in the bibliography, language: English, abstract: In this thesis Genetic Programming is used to create trading systems for the EUR/USD foreign exchange market using intraday data. In addition to the exchange rates several moving averages are used as inputs. The developed evolutionary algorithm extends the framework ECJ. The created trading systems are being evaluated by a fitness function that consists of a trading simulation. Genetic operators have been adapted to support "node weights". By using these on the one hand macromutaion is tried to be reduced on the other hand the interpretability of the created trading systems is tried to be improved. Results of experiments show that created trading systems are apparently successfull in profitably using informations contained within the exchange rates. Profits of the created trading systems are maximized by using the optimal position size. It is shown that if the minimum investment period is met the achieved results are optimal even when taking into account the used risk adjusted performance figure.

Reseña del editor

Diploma Thesis from the year 2007 in the subject Economics / Business: Banking, Stock Exchanges, Insurance, Accounting, grade: 1,7, University of Hamburg (Department Informatik), 69 entries in the bibliography, language: English, comment: English translation of "Entwicklung von Handelssystemen mittels Gentischer Algorithmen anhand eines Fallbeispiels" by Holger Hartmann (2007) , abstract: In this thesis Genetic Progrmming is used to create trading systems for the EUR/USD foreign exchange market using intraday data. In addition to the exchange rates several moving averages are used as inputs. The developed evolutionary algorithm extends the framework ECJ. The created trading systems are being evaluated by a fitness function that consists of a trading simulation. Genetic operators have been adapted to support "node weights". By using these on the one hand macromutaion is tried to be reduced on the other hand the interpretability of the created trading systems is tried to be improved. Results of experiments show that created trading systems are apparently successfull in profitably using informations contained within the exchange rates. Profits of the created trading systems are maximized by using the optimal position size. It is shown that if the minimum investment period is met the achieved results are optimal even when taking into account the used risk adjusted performance figure.

"Sobre este título" puede pertenecer a otra edición de este libro.

Editorial
0
Año de publicación
2008
Idioma
Inglés
ISBN 10 
3638913821
ISBN 13 
9783638913829
Encuadernación
Tapa blanda
Número de edición
3
Número de páginas
104
Contacto del fabricante
no disponible
Persona responsable
info@bod.de
info@bod.de

Überseering 33
Hamburg
22297
Alemania

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