کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
385670 | 660869 | 2011 | 8 صفحه PDF | دانلود رایگان |

Technical trading rules can be generated from historical data for decision making in stock markets. Genetic programming (GP) as an artificial intelligence technique is a valuable method to automatically generate such technical trading rules. In this paper, GP has been applied for generating risk-adjusted trading rules on individual stocks. Among many risk measures in the literature, conditional Sharpe ratio has been selected for this study because it uses conditional value at risk (CVaR) as an optimal coherent risk measure. In our proposed GP model, binary trading rules have been also extended to more realistic rules which are called trinary rules using three signals of buy, sell and no trade. Additionally we have included transaction costs, dividend and splits in our GP model for calculating more accurate returns in the generated rules. Our proposed model has been applied for 10 Iranian companies listed in Tehran Stock Exchange (TSE). The numerical results showed that our extended GP model could generate profitable trading rules in comparison with buy and hold strategy especially in the case of risk adjusted basis.
Research highlights
► A genetic programming (GP) model for generating risk-adjusted technical trading trinary rules on individual stocks.
► Conditional Sharpe ratio has been used in fitness function of our GP model.
► Transaction costs, dividend and splits exist in our GP model for calculating more accurate returns in the generated rules.
► Our extended GP model outperformed buy and hold strategy especially in the case of risk adjusted basis.
Journal: Expert Systems with Applications - Volume 38, Issue 7, July 2011, Pages 8438–8445