Designing Loss-Aware Fitness Function for GA-Based Algorithmic Trading

  • Yuya AraiEmail author
  • Ryohei Orihara
  • Hiroyuki Nakagawa
  • Yasuyuki Tahara
  • Akihiko Ohsuga
Part of the Studies in Computational Intelligence book series (SCI, volume 489)


In these days, an algorithmic trading in stock or foreign exchange (henceforth forex) market is in fashion, and needs for automatically performing stable asset management are growing. Machine learning techniques are increasingly used to construct trading rules of the algorithmic trading, as researches on the algorithmic trading advance. Our study aims to build an automatic trading agent, and in this paper, we concentrate in designing a module which determines trading rules by machine learning. We use Genetic Algorithm (henceforth GA), and we build trading rules by learning parameters of technical indices. Our contribution in this paper is that we propose new fitness functions in GA, in order to make them robuster to change of market trends. Although profits were used as a fitness function in the previous study, we propose the fitness functions which pay more attention to not making a loss than to gaining profits. As a result of our experiment using real TSE(Tokyo Stock Exchange) data for eight years, the proposed method has outperformed the previous method in terms of gained profits.


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Copyright information

© Springer International Publishing Switzerland 2013

Authors and Affiliations

  • Yuya Arai
    • 1
    Email author
  • Ryohei Orihara
    • 1
  • Hiroyuki Nakagawa
    • 1
  • Yasuyuki Tahara
    • 1
  • Akihiko Ohsuga
    • 1
  1. 1.Graduate School of Information SystemsThe University of Electro-CommunicationsTokyoJapan

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