Overfitting or poor learning: a critique of current financial applications of GP
EuroGP'03 Proceedings of the 6th European conference on Genetic programming
Algorithmic trading strategy optimization based on mutual information entropy based clustering
ISICA'10 Proceedings of the 5th international conference on Advances in computation and intelligence
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Over the last decade, numerous papers have investigated the use of GP for creating financial trading strategies. Typically in the literature results are inconclusive but the investigators always suggest the possibility of further improvements, leaving the conclusion regarding the effectiveness of GP undecided. In this paper, we discuss a series of pretests, based on several variants of random search, aiming at giving more clearcut answers on whether a GP scheme, or any other machine-learning technique, can be effective with the training data at hand. The analysis is illustrated with GP-evolved strategies for three stock exchanges exhibiting different trends.