Technical market indicators optimization using evolutionary algorithms
Proceedings of the 10th annual conference companion on Genetic and evolutionary computation
Optimization of the trading rule in foreign exchange using genetic algorithm
Proceedings of the 11th Annual conference on Genetic and evolutionary computation
Foundations in Grammatical Evolution for Dynamic Environments
Foundations in Grammatical Evolution for Dynamic Environments
Symbiosis, complexification and simplicity under GP
Proceedings of the 12th annual conference on Genetic and evolutionary computation
Linear Genetic Programming
EvoApplications'11 Proceedings of the 2011 international conference on Applications of evolutionary computation - Volume Part II
Symbiotic coevolutionary genetic programming: a benchmarking study under large attribute spaces
Genetic Programming and Evolvable Machines
Time Series Forecasting for Dynamic Environments: The DyFor Genetic Program Model
IEEE Transactions on Evolutionary Computation
Practical Applications of Evolutionary Computation to Financial Engineering: Robust Techniques for Forecasting, Trading and Hedging
On the utility of trading criteria based retraining in forex markets
EvoApplications'13 Proceedings of the 16th European conference on Applications of Evolutionary Computation
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Most research into frameworks for evolving trading agents emphasize aspects associated with the evolution of technical indicators and decision trees / rules. One of the factors that drives the development of such frameworks is the non-stationary, streaming nature of the task. However, it is the heuristics used to interface the evolutionary framework to the streaming data which potentially have most impact on the quality of the resulting trading agents. We demonstrate that including a validation partition has a significant impact on determining the overall success of the trading agents. Moreover, rather than conduct evolution on a continuous basis, only retraining when changes in trading quality are detected also yields significant advantages. Neither of these heuristics are widely recognized by research in evolving trading agent frameworks, although both are relatively easy to add to current frameworks. Benchmarking over a 3 year period of the EURUSD foreign exchange supports these findings.