A portfolio optimization model using Genetic Network Programming with control nodes

Authors:
Yan Chen;Etsushi Ohkawa;Shingo Mabu;Kaoru Shimada;Kotaro Hirasawa
Affiliations:
Graduate school of Information, Production and Systems, Waseda University, 2-7, Hibikino, Wakamatsu-ku, Kitakyushu, Fukuoka 808-0135, Japan;Graduate school of Information, Production and Systems, Waseda University, 2-7, Hibikino, Wakamatsu-ku, Kitakyushu, Fukuoka 808-0135, Japan;Graduate school of Information, Production and Systems, Waseda University, 2-7, Hibikino, Wakamatsu-ku, Kitakyushu, Fukuoka 808-0135, Japan;Information, Production and Systems Research Center, Waseda University, 2-7, Hibikino, Wakamatsu-ku, Kitakyushu, Fukuoka, Japan;Graduate school of Information, Production and Systems, Waseda University, 2-7, Hibikino, Wakamatsu-ku, Kitakyushu, Fukuoka 808-0135, Japan
Venue:
Expert Systems with Applications: An International Journal
Year:
2009

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Abstract

Many evolutionary computation methods applied to the financial field have been reported. A new evolutionary method named ''Genetic Network Programming'' (GNP) has been developed and applied to the stock market recently. The efficient trading rules created by GNP has been confirmed in our previous research. In this paper a multi-brands portfolio optimization model based on Genetic Network Programming with control nodes is presented. This method makes use of the information from technical indices and candlestick chart. The proposed optimization model, consisting of technical analysis rules, are trained to generate trading advice. The experimental results on the Japanese stock market show that the proposed optimization system using GNP with control nodes method outperforms other traditional models in terms of both accuracy and efficiency. We also compared the experimental results of the proposed model with the conventional GNP based methods, GA and Buy&Hold method to confirm its effectiveness, and it is clarified that the proposed trading model can obtain much higher profits than these methods.