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    Please use this identifier to cite or link to this item: http://nccur.lib.nccu.edu.tw/handle/140.119/68718

    Title: Discovering c Programming with Lambda Abstraction
    Authors: 陳樹衡
    Contributors: 經濟系
    Date: 2004
    Issue Date: 2014-08-14 11:47:55 (UTC+8)
    Abstract: We applied genetic programming with a lambda abstraction module mechanism to learn technical trading rules based on S&P 500 index from 1982 to 2002. The results show strong evidence of excess returns over buy-and-hold after transaction cost. The discovered trading rules can be interpreted easily; each rule uses a combination of one to four widely used technical indicators to make trading decisions. The consensus among these trading rules is high. For the majority of the testing period, 80% of the trading rules give the same decision. These rules also give high transaction frequency. Regardless of the stock market climate, they are able to identify opportunities to make profitable trades and out-perform buy-and-hold.
    Relation: Genetic Programming Theory and Practice II. Genetic Programming Volume 8, 2005, pp 11-30
    Data Type: book/chapter
    Appears in Collections:[經濟學系] 專書/專書篇章

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