Adaptive Trading With Grammatical Evolution

This study reports on the performance of an on-line evolutionary automatic programming methodology for uncovering technical trading rules for the S&P 500 and Nikkei 225 indices. The system adopts a variable sized investment strategy based on the strength of the signals produced by the trading rules. Two approaches are explored, one using a single population of rules which is adapted over the lifetime of the data and another whereby a new population is created for each step across the time series. The results show profitable performance for the trading periods explored with clear advantages for an adaptive population of rules.

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