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A GA Combining Technical and Fundamental Analysis for Trading the Stock Market

  • Iván Contreras
  • José Ignacio Hidalgo
  • Laura Núñez-Letamendia
Part of the Lecture Notes in Computer Science book series (LNCS, volume 7248)

Abstract

Nowadays, there are two types of financial analysis oriented to design trading systems: fundamental and technical. Fundamental analysis consists in the study of all information (both financial and nonfinancial) available on the market, with the aim of carrying out efficient investments. By contrast, technical analysis works under the assumption that when we analyze the price action in a specific market, we are (indirectly) analyzing all the factors related to the market. In this paper we propose the use of an Evolutionary Algorithm to optimize the parameters of a trading system which combines Fundamental and Technical analysis (indicators). The algorithm takes advantage of a new operator called Filling Operator which avoids problems of premature convergence and reduce the number of evaluations needed. The experimental results are promising, since when the methodology is applied to values of 100 companies in a year, they show a possible return of 830% compared with a 180% of the Buy and Hold strategy.

Keywords

Stock Return Crossover Operator Trading System Premature Convergence Sales Growth 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Springer-Verlag Berlin Heidelberg 2012

Authors and Affiliations

  • Iván Contreras
    • 1
  • José Ignacio Hidalgo
    • 1
  • Laura Núñez-Letamendia
    • 2
  1. 1.Facultad de InformáticaUniversidad Complutense de MadridMadridSpain
  2. 2.IE Business SchoolMadridSpain

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