dc.contributor.author |
Nicholls, Jason Frederick
|
|
dc.contributor.author |
Engelbrecht, Andries P.
|
|
dc.date.accessioned |
2020-02-18T10:10:39Z |
|
dc.date.issued |
2019-07 |
|
dc.description.abstract |
The profitability of trading rules evolved by three different optimised genetic programs, namely a single population genetic program (GP), a co‐operative co‐evolved GP, and a competitive co‐evolved GP is compared. Profitability is determined by trading thirteen listed shares on the Johannesburg Stock Exchange (JSE) over a period of April 2003 to June 2008. An empirical study presented here shows that GPs can generate profitable trading rules across a variety of industries and market conditions. The results show that the co‐operative co‐evolved GP generates trading rules perform significantly worse than a single population GP and a competitively co‐evolved GP. The results also show that a competitive co‐evolved GP and the single population GP produce similar trading rules. The profits returned by the evolved trading rules are compared to the profit returned by the buy‐and‐hold trading strategy. The evolved trading rules significantly outperform the buy‐and‐hold strategy when the market trends downwards. No significant difference is identified among the buy‐and‐hold strategy, the competitive co‐evolved GP, and single population GP when the market trends upwards. |
en_ZA |
dc.description.department |
Computer Science |
en_ZA |
dc.description.embargo |
2021-07-01 |
|
dc.description.librarian |
hj2020 |
en_ZA |
dc.description.uri |
https://wileyonlinelibrary.com/journal/isaf |
en_ZA |
dc.identifier.citation |
Nicholls JF, Engelbrecht AP. Co‐evolved genetic programs for stock market trading. Intelligent Systems in Accounting, Finance and Management 2019;26:117–136. https://doi.org/10.1002/isaf.1458. |
en_ZA |
dc.identifier.issn |
1749-4869 (print) |
|
dc.identifier.issn |
1749-4877 (online) |
|
dc.identifier.other |
10.1002/isaf.1458 |
|
dc.identifier.uri |
http://hdl.handle.net/2263/73402 |
|
dc.language.iso |
en |
en_ZA |
dc.publisher |
Wiley |
en_ZA |
dc.rights |
© 2019 John Wiley & Sons Ltd. This is the pre-peer reviewed version of the following article : Co‐evolved genetic programs for stock market trading. Intelligent Systems in Accounting, Finance and Management 2019;26:117–136. https://doi.org/10.1002/isaf.1458. The definite version is available at : https://wileyonlinelibrary.com/journal/isaf. |
en_ZA |
dc.subject |
Co‐evolution |
en_ZA |
dc.subject |
Co‐operative co‐evolution |
en_ZA |
dc.subject |
Competitive co‐evolution |
en_ZA |
dc.subject |
Genetic programming |
en_ZA |
dc.subject |
Johannesburg Stock Exchange (JSE) |
en_ZA |
dc.subject |
Stock market trading |
en_ZA |
dc.subject |
Technical analysis |
en_ZA |
dc.title |
Co‐evolved genetic programs for stock market trading |
en_ZA |
dc.type |
Postprint Article |
en_ZA |