A real-time adaptive trading system using genetic programming.pdf

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1、QUANTITATIVEFINANCEVOLUME1(2001)397–413RESEARCHPAPERINSTITUTEOFPHYSICSPUBLISHINGquant.iop.orgAreal-timeadaptivetradingsystemusinggeneticprogrammingMAHDempsterandCMJones1CentreforFinancialResearch2,JudgeInstituteofManagement,UniversityofCambridge,TrumpingtonStreet,Cambridge,CB21AG,

2、UKE-mail:mahd@jims.cam.ac.ukandcmj24@cam.ac.ukReceived15October2000AbstractTechnicalanalysisindicatorsarewidelyusedbytradersinfinancialandcommoditymarketstopredictfuturepricelevelsandenhancetradingprofitability.Wehavepreviouslyshownanumberofpopularindicator-basedtradingrulestobeloss

3、-makingwhenappliedindividuallyinasystematicmanner.However,technicaltraderstypicallyusecombinationsofabroadrangeoftechnicalindicators.Moreover,successfultraderstendtoadapttomarketconditionsby‘dropping’tradingrulesassoonastheybecomeloss-makingorwhenmoreprofitablerulesarefound.Inthisp

4、aperwetrytoemulatesuchtradersbydevelopingatradingsystemconsistingofrulesbasedoncombinationsofdifferentindicatorsatdifferentfrequenciesandlags.AninitialportfolioofsuchrulesisselectedbyageneticalgorithmappliedtoanumberofindicatorscalculatedonasetofUSDollar/BritishPoundspotforeignexc

5、hangetickdatafrom1994to1997aggregatedtovariousintradayfrequencies.Thegeneticalgorithmissubsequentlyusedatregularintervalsonout-of-sampledatatoprovidenewrulesandafeedbacksystemisutilizedtorebalancetheruleportfolio,thuscreatingtwolevelsofadaptivity.Despitetheindividualindicatorsbein

6、ggenerallyloss-makingoverthedataperiod,thebestrulefoundbythedevelopedsystemisfoundtobemodestly,butsignificantly,profitableinthepresenceofrealistictransactioncosts.1.Introductionassystematicallyaspossiblewithoutautomationwhileothersusetechnicalanalysisasthebasisforconstructingsystems

7、Somefinancialandcommoditymarkettradersstudymarketthatautomaticallyrecommendtradepositions.Inthispaperpricehistorywithaviewtopredictingfuturepricechangesinweconstructsuchasysteminanattempttoanalysetheactionsordertoenhancetradingprofitability.Thisstudyisknownofthewidebodyoftraderswhop

8、racticetechnicalanalysis.astechni