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Coevolutionary Grammatical Evolution for Building Trading Algorithms

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Electrical Engineering and Applied Computing

Part of the book series: Lecture Notes in Electrical Engineering ((LNEE,volume 90))

Abstract

Advancements in communications and computer technology has enabled traders to program their trading strategies into computer programs (trading algorithms) that submit electronic orders to an exchange automatically. The work in this chapter entails the use of a coevolutionary algorithm based on grammatical evolution to produce trading algorithms. The trading algorithms developed are benchmarked against a publicly available trading system called the turtle trading system (TTS). The results suggest that out framework is capable of producing trading algorithms that outperform the TTS. In addition, a comparison between trading algorithms developed under a utilitarian framework, and using Sharpe ratio as objective function shows that they have statistically different performance.

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References

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Author information

Authors and Affiliations

  1. Center for Computational Finance and Economic Agents, University of Essex, Colchester, UK

    Kamal Adamu & Steve Phelps

Authors
  1. Kamal Adamu
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  2. Steve Phelps
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Corresponding author

Correspondence to Kamal Adamu .

Editor information

Editors and Affiliations

  1. The University of Hong Kong, Hung To Road, Hong Kong, 3739, China, People's Republic

    Sio-Iong Ao

  2. School of Engineering, Applied Mathematics and Computing, Cranfield University, Cranfield, MK43 0AL, Montserrat

    Len Gelman

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© 2011 Springer Science+Business Media B.V.

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Adamu, K., Phelps, S. (2011). Coevolutionary Grammatical Evolution for Building Trading Algorithms. In: Ao, SI., Gelman, L. (eds) Electrical Engineering and Applied Computing. Lecture Notes in Electrical Engineering, vol 90. Springer, Dordrecht. https://doi.org/10.1007/978-94-007-1192-1_26

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  • DOI: https://doi.org/10.1007/978-94-007-1192-1_26

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  • Publisher Name: Springer, Dordrecht

  • Print ISBN: 978-94-007-1191-4

  • Online ISBN: 978-94-007-1192-1

  • eBook Packages: EngineeringEngineering (R0)

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