A genetic programming model to generate risk-adjusted technical trading rules in stock markets

Application of evolutionary computation for rule discovery in stock algorithmic trading: A literature review

“…This analysis method considers the movement of stock price and volume as reflections of all the related information about the stock market; in addition, previous market behavior patterns repeat in the future; thus by analyzing the previous behavior patterns of price and volume, trading rules can be generated [35,53,54,59,61]. A common investment strategy based on technical analysis is trend following.…”

“…Trend, momentum, cycle, and raw data (chart data) in technical and fundamental analyses are popular for the long-term price trend prediction [13,61,[138][139][140]. Data granularity may be among the problems faced by researchers.…”

“…Many of the selected papers did not consider the problem of portfolio optimization; the performances of the models were always average in the independent experiments of each of the research objects [61,103]. But this kind of evaluation scheme cannot take full advantage of budget.…”

Statistical arbitrage regarding trade in goods of agricultural origin

“…The development of this technique was possible only when the on-line stock exchange market allowing sending orders by e-mail became common and when personal computers became available. The current programmes use complex algorithms containing mathematical tools, especially in the field of statistics, optimisation or probability theory, presented Esfahanipour and Mousavi [5]. By observing quotations and other sources having a direct influence on the stock exchange markets, transaction programmes give adequate investment signals.…”

Backlash Agent: A trading strategy based on Directional Change

“…Technical trading rules were also used to develop trading strategies (e.g. [4] [5]). The literature also includes trading strategies that embrace momentum models (e.g.…”