Cooperative Coevolution of Technical Trading Rules

Publication Year:
2003
Usage 44
Downloads 27
Abstract Views 17
Repository URL:
https://digitalcommons.wpi.edu/computerscience-pubs/148
Author(s):
Becker, Lee A; Seshadri, Mukund
Tags:
Computer Sciences
artifact description
This paper describes how cooperative coevolution can be used for GP of technical trading rules. A number of different methods of choosing collaborators for fitness evaluation are investigated. Several of the methods outperformed, at a statistically significant level, a buy-and-hold strategy for the S&P500 on the testing period from 1990-2002, even taking into account transaction costs.