Usage Patterns of Trading Rules in Stock Market Trading Strategies Optimized with Evolutionary Methods

  • Krzysztof Michalak
  • Patryk Filipiak
  • Piotr Lipinski
Part of the Lecture Notes in Computer Science book series (LNCS, volume 7835)

Abstract

This paper proposes an approach to analysis of usage patterns of trading rules in stock market trading strategies. Analyzed strategies generate trading decisions based on signals produced by trading rules. Weighted sets of trading rules are used with parameters optimized using evolutionary algorithms. A novel approach to trading rule pattern discovery, inspired by association rule mining methods, is proposed. In the experiments, patterns consisting of up to 5 trading rules were discovered which appear in no less than 50% of trading experts optimized by evolutonary algorithm.

Keywords

stock market trading rules evolutionary computing 

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Copyright information

© Springer-Verlag Berlin Heidelberg 2013

Authors and Affiliations

  • Krzysztof Michalak
    • 1
  • Patryk Filipiak
    • 2
  • Piotr Lipinski
    • 2
  1. 1.Institute of Business InformaticsWroclaw University of EconomicsWroclawPoland
  2. 2.Institute of Computer ScienceUniversity of WroclawWroclawPoland

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