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PSO for the Sharpe Ratio in a Financial Trading System Based on Technical Analysis

In: Mathematical and Statistical Methods for Actuarial Sciences and Finance

Author

Listed:
  • Marco Corazza

    (Ca’ Foscari University of Venice)

  • Claudio Pizzi

    (Ca’ Foscari University of Venice)

  • Andrea Marchioni

    (University of Tuscia)

Abstract

We consider four technical indicators widely used in financial practice to determine the optimal signal aggregation, trading rule definition, and indicator setting using the Particle Swarm Optimization metaheuristic applied to an important financial fitness function, that is the Sharpe Ratio. We experiment our trading system to the Italian index FTSE MIB and to a set of financial stocks belonging to the FTSE MIB over a multi-year period for training and testing. We generally achieve superior out-of-sample performance, using a standard technical analysis system as a benchmark.

Suggested Citation

  • Marco Corazza & Claudio Pizzi & Andrea Marchioni, 2024. "PSO for the Sharpe Ratio in a Financial Trading System Based on Technical Analysis," Springer Books, in: Marco Corazza & Frédéric Gannon & Florence Legros & Claudio Pizzi & Vincent Touzé (ed.), Mathematical and Statistical Methods for Actuarial Sciences and Finance, pages 93-98, Springer.
    • Handle: RePEc:spr:sprchp:978-3-031-64273-9_16
    DOI: 10.1007/978-3-031-64273-9_16
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