BibTeX
@MISC{To_evolutionof,
author = {Or How To and Hakan Jonsson and Payam Madjidi},
title = {Evolution of trading rules for the FX market},
year = {}
}
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Abstract
Genetic programming is used to search for trading rules for the foreign exchange market using very high frequency data. Trading systems with retraining at regular intervals are studied with particular focus on the generalization from training to test data. These are found to generate higher returns than buy-and-hold and other algorithmically simple profitable strategies for these data.
