2009-11-30

Genetic Programming for finding trading system algorithm

I've been thinking about using Genetic Programming (GP) approach to find new trading system algorithm. There is no simple relation between such algorithm and outcome of the system (profit/loss benchmarks on historical data). To evaluate usefulness of algorithm, it have to be tested on real data. So its good target for that kind of automation.

I have been using Genetic Algorithms (GA) and even built some kind of GA framework at the university. Now I'm browsing through resources to refresh basics and find out what is new in the subject. I'm reviewing also GP frameworks to use (choosing possibly the simplest one). Results could be interesting - but it needs some integration work to take off.

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