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    題名: Discovering c Programming with Lambda Abstraction
    作者: 陳樹衡
    Chen,Shu-Heng
    貢獻者: 經濟系
    日期: 2004
    上傳時間: 2014-08-14 11:47:55 (UTC+8)
    摘要: 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.
    關聯: Genetic Programming Theory and Practice II. Genetic Programming Volume 8, 2005, pp 11-30
    資料類型: book/chapter
    顯示於類別:[經濟學系] 專書/專書篇章

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