An evolutionary approach to define investment strategies based on macroeconomic indicators and VIX data

Authors:
Oleksandr Yefimochkin;Rui Neves;Nuno Horta
Affiliations:
Instituto de Telecomunicações/Instituto Superior Técnico, Lisbon, Portugal;Instituto de Telecomunicações/Instituto Superior Técnico, Lisbon, Portugal;Instituto de Telecomunicações/Instituto Superior Técnico, Lisbon, Portugal
Venue:
Proceedings of the 14th annual conference companion on Genetic and evolutionary computation
Year:
2012

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Abstract

This paper describes a new evolutionary approach to stock market forecasting. This approach can successfully forecast S&P500 Index's Futures price evolution using mainly Macroeconomic Indicators from different regions (United States of America, European Monetary Union and Germany) and measuring its impact using Index's volatility. In addition to the Macroeconomic data time series, MAs and VIX were used. In order to validate the results, the obtained strategies, based on Macroeconomic Indicators, were compared against the B&H and MA based strategies in the period between 2010/01 and 2011/09 with the S&P500 Index Futures, showing outstanding improvements in performance.