Sunday, August 1, 2010

Genetic Program Generated Strategy

I've been experimenting with Genetic Programming for some time now and we're starting to see some interesting results. I recently tried some USD/EUR currency data with 350 days training and 150 days validation, one of the resulting strategies was:

COS(ADD(Low, Close))

In simple words, add the low and the close then take the cosine of the result. A value greater than 0 is a Buy signal, a value less than 0 is a Sell signal, and a value equal to 0 is a Hold signal.

Over the 150 validation days this strategy made 13.7% and projected over a year it yielded around 25% profit. In the last year the USD/EUR has gone up about 9.2% and using that simple strategy is projected to produce 2.5 times more gains than the buy and hold.

3 comments:

  1. Dear Kiril,
    I like your work. You may find our new website TweetTrader.net interesting. You may want to adjust the syntax of your Twitter stock predictions a little ("$AAPL+" for Buy and "$AAPL-" for sell) to comply with our Stock Game.
    Best regards to Chicago (I lived in Lincoln Park for a couple of months in 2006 and loved it),
    Timm

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  2. How intriguing, such a senseless function producing good results! :)

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