Paper Info
Title
Optimization of Trading Rules for the Spanish Stock Market by Genetic Programming.
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.
Year
DOI
Venue
2015
10.1007/978-3-319-19066-2_60
IEA/AIE
Keywords
Field
DocType
Stock exchange markets, Genetic programming, Optimization, Trading rules, Market tendencies
Econometrics,Capital market line,Market microstructure,Computer science,Pairs trade,Genetic programming,Market share analysis,Stock market,Algorithmic trading,Order (exchange)
Conference
Volume
ISSN
Citations 
9101
0302-9743
2
PageRank 
References 
Authors
0.40
6
4
Name
Order
Citations
PageRank
Sergio Luengo120.74
Stephan M. Winkler214022.90
David F. Barrero312017.17
Bonifacio Castaño4195.10