Coevolution of Technical Trading Rules for High Frequency Trading

摘要

Traders make trade decisions specifying entry, exit, and stop loss prices. Technicians often decide on entry, exit, and stop loss prices based on a predefined set of technical rules. In this paper, we employ a method based on grammatical evolution to coevolve technical rules for entry, exit, and stop loss for trading a London Stock Exchange (LSE) based stock in high frequency. We consider the case of two class of investors with risk averse, and loss preferences and build a partial trading frontier given the preferences considered. The performance of the rules evolved is compared to a publicly available trading system called the turtle trading system (TTS) and the best rules produced by our method outperforms TTS.