Lessons Learned Using Genetic Programming in a Stock Picking Context

This is a narrative describing the implementation of a genetic programming technique for stock picking in a quantitatively driven, risk-controlled, US equity portfolio. It describes, in general, the problems that the authors faced in their portfolio context when using genetic programming techniques and in gaining acceptance of the technique by a skeptical audience. We discuss in some detail the construction of the fitness function, the genetic programming system’s parameterization (including data selection and internal function choice), and the interpretation and modification of the generated programs for eventual implementation.