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Stock Exchange Trading Using Grid Pattern Optimized by A Genetic Algorithm with Speciation - The Case of S&P 500 (Paperback, 1st ed. 2021)
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Stock Exchange Trading Using Grid Pattern Optimized by A Genetic Algorithm with Speciation - The Case of S&P 500 (Paperback, 1st ed. 2021)
Series: SpringerBriefs in Applied Sciences and Technology
Expected to ship within 10 - 15 working days
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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 have a 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.
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