The Statistical Analysis of GAs-Based Trading Strategies under Dynamic Landscape

• Main Authors: Chueh-Yung Tsao, 棗厥庸
• Other Authors: Berlin Wu
• Format: Others
• Language: en_US
• Online Access: http://ndltd.ncl.edu.tw/handle/81360789464491651420

碩士 === 國立政治大學 === 應用數學系 === 87 === In this study, the performance of ordinary GA-based trading strategies are evaluated under five classes of time series model, namely, linear ARMA model, bilinear model, ARCH model, threshold model and chaotic model. The performance criteria employed are the winning probability, accumulated returns, Sharpe ratio and luck coefficient. We then provide the asymptotic statistical tests for these criteria. Unlike many existing applications of computational intelligence in financial engineering, for each performance criterion, we provide a rigorous statistical results based on Monte Carlo simulation. In the empirical study, two tick-by-tick foreign exchange rates are also considered, namely, EUR/USD and USD/JPY. As a result, this study provides us with a thorough understanding about the effectiveness of ordinary GA for evolving trading strategies under these artificial and natural time series data.