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Optimization of Trading Rules for the Spanish Stock Market by Genetic Programming

  • Sergio Luengo
  • Stephan Winkler
  • David F. Barrero
  • Bonifacio Castaño
Conference paper
Part of the Lecture Notes in Computer Science book series (LNCS, volume 9101)

Abstract

This paper deals with the development of a method for generating input and output signals in the Spanish stock market. It is based on the application of set of simple trading rules optimized by genetic programming. To this aim we use the HeuristicLab software. To evaluate the performance of our method we make a comparison with other traditional methods such as Buy & Hold and Simple Moving Averages Crossover. We study three different market scenarios: bull market, bear market and sideways market. Empirical test series show that market global behavior has a great influence on the results of each method and that strategies based on genetic programming perform best in the sideways market.

Keywords

Stock exchange markets Genetic programming Optimization Trading rules Market tendencies 

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Copyright information

© Springer International Publishing Switzerland 2015

Authors and Affiliations

  • Sergio Luengo
    • 1
  • Stephan Winkler
    • 2
  • David F. Barrero
    • 3
  • Bonifacio Castaño
    • 1
  1. 1.Department of Physics and MathematicsUniversity of AlcaláMadridSpain
  2. 2.Bioinformatics Research GroupUniversity of Applied Sciences Upper AustriaHagenbergAustria
  3. 3.Department of Computer ScienceUniversity of AlcaláMadridSpain

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