Development of Trading Systems using Genetic Programming with a Case Study

Name: Development of Trading Systems using Genetic Programming with a Case Study
Brand: Examicus Publishing
SKU: 9783869432038
Price: 43.89 EUR
Availability: InStock

Автор: Holger Hartmann

Език:

Корици: С меки корици

Издател: Examicus Publishing

Наличност: Външен склад

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Diploma Thesis from the year 2007 in the subject Computer Science - Programming, grade: 1.7, Univers...

Информация за книгата

Автор

Holger Hartmann

Език

Английски език

Корици

Книга - С меки корици

Издадена

2012

страници

104

EAN

9783869432038

ISBN

3869432039

Enbook ID

01893437

Издател

Examicus Publishing

Теглоt

145

Размери

148 x 210 x 6

Пълно описание

Diploma Thesis from the year 2007 in the subject Computer Science - Programming, grade: 1.7, University of Hamburg, language: English, 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.

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Development of Trading Systems using Genetic Programming with a Case Study

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