Research Commons
      • Browse 
        • Communities & Collections
        • Titles
        • Authors
        • By Issue Date
        • Subjects
        • Types
        • Series
      • Help 
        • About
        • Collection Policy
        • OA Mandate Guidelines
        • Guidelines FAQ
        • Contact Us
      • My Account 
        • Sign In
        • Register
      View Item 
      •   Research Commons
      • University of Waikato Research
      • Computing and Mathematical Sciences
      • Computing and Mathematical Sciences Papers
      • View Item
      •   Research Commons
      • University of Waikato Research
      • Computing and Mathematical Sciences
      • Computing and Mathematical Sciences Papers
      • View Item
      JavaScript is disabled for your browser. Some features of this site may not work without it.

      Cartesian genetic programming for trading: a preliminary investigation

      Mayo, Michael
      Thumbnail
      Files
      Cartesian genetic programming for trading.pdf
      219.5Kb
      Citation
      Export citation
      Mayo, M. (2012, December). Cartesian genetic programming for trading: a preliminary Investigation. Paper presented at the Tenth Australasian Data Mining Conference: AusDM 2012, Sydney, Australia.
      Permanent Research Commons link: https://hdl.handle.net/10289/6838
      Abstract
      In this paper, a preliminary investigation of Cartesian Genetic Programming (CGP) for algorithmic intraday trading is conducted. CGP is a recent new variant of genetic programming that differs from traditional approaches in a number of ways, including being able to evolve programs with limited size and with multiple outputs. CGP is used to evolve a predictor for intraday price movements, and trading strategies using the evolved predictors are evaluated along three dimensions (return, maximum drawdown and recovery factor) and against four different financial datasets (the Euro/US dollar exchange rate and the Dow Jones Industrial Average during periods from 2006 and 2010). We show that CGP is capable in many instances of evolving programs that, when used as trading strategies, lead to modest positive returns.
      Date
      2012
      Type
      Conference Contribution
      Publisher
      Australian Computer Society, Inc.
      Rights
      Copyright © 2012, Australian Computer Society, Inc. This paper appeared at the 10th Australasian Data Mining Conference (AusDM 2012), Sydney, Australia, December 2012. Conferences in Research and Practice in Information Technology (CRPIT), Vol. 134, Yanchang Zhao, Jiuyong Li, Paul Kennedy, and Peter Christen, Ed. Reproduction for academic, not-for-profit purposes permitted provided this text is included.
      Collections
      • Computing and Mathematical Sciences Papers [1455]
      Show full item record  

      Usage

      Downloads, last 12 months
      39
       
       

      Usage Statistics

      For this itemFor all of Research Commons

      The University of Waikato - Te Whare Wānanga o WaikatoFeedback and RequestsCopyright and Legal Statement