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Stock Exchange Trading Using Grid Pattern Optimized by a Genetic Algorithm with Speciation

Stock Exchange Trading Using Grid Pattern Optimized by a Genetic Algorithm with Speciation

The Case of S&P 500

by Tiago Martins and Rui Neves
Paperback
Publication Date: 09/07/2021

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This book presents a genetic algorithm that optimizes a grid template pattern detector to find the best point to trade in the SP 500. The pattern detector is based on a template using a grid of weights with a fixed size. The template takes in consideration not only the closing price but also the open, high, and low values of the price during the period under testing in contrast to the traditional methods of analysing only the closing price. Each cell of the grid encompasses a score, and these are optimized by an evolutionary genetic algorithm that takes genetic diversity into consideration through a speciation routine, giving time for each individual of the population to be optimized within its own niche. With this method, the system is able to present better results and improves the results compared with other template approaches. The tests considered real data from the stock market and against state-of-the-art solutions, namely the ones using a grid of weights which does not havea fixed size and non-speciated approaches. During the testing period, the presented solution had a return of 21.3% compared to 10.9% of the existing approaches. The use of speciation was able to increase the returns of some results as genetic diversity was taken into consideration.

ISBN:
9783030766795
9783030766795
Category:
Finance
Format:
Paperback
Publication Date:
09-07-2021
Language:
English
Publisher:
Springer International Publishing AG
Country of origin:
Switzerland
Dimensions (mm):
235x155mm
Weight:
0.15kg

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