Evolving Market Index Trading Rules Using Grammatical Evolution

Authors:
Michael O'Neill;Anthony Brabazon;Conor Ryan;J. J. Collins
Affiliations:
-;-;-;-
Venue:
Proceedings of the EvoWorkshops on Applications of Evolutionary Computing
Year:
2001

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Abstract

This study examines the potential of an evolutionary automatic programming methodology to uncover a series of useful technical trading rules for the UK FTSE 100 stock index. Index values for the period 26/4/1984 to 4/12/1997 are used to train and test the model. The preliminary findings indicate that the methodology has much potential, outperforming the benchmark strategy adopted.