IDEAS home Printed from https://ideas.repec.org/h/spr/sprchp/978-3-319-50234-2_7.html
   My bibliography  Save this book chapter

An Evolutionary Approach to Improve a Simple Trading System

In: Mathematical and Statistical Methods for Actuarial Sciences and Finance

Author

Listed:
  • Marco Corazza

    (Ca’ Foscari University of Venice, Department of Economics)

  • Francesca Parpinel

    (Ca’ Foscari University of Venice, Department of Economics)

  • Claudio Pizzi

    (Ca’ Foscari University of Venice, Department of Economics)

Abstract

In this paper we consider a simple trading system (TS) based on a set of Technical Analysis (TA) indicators. Their peculiarity is the dependence on the time-window widths used to calculate them. To attempt to improve the performances of the TS, we optimize these parameters (that is the time-window widths) by the Particle Swarm Optimization (PSO), which is a metaheuristic used to solve global optimization problems. The use of PSO is necessary since the involved optimization problem is nonlinear, nondifferentiable and integer: in summary, it is complex. In such a case, the use of exact solution methods would be excessively time-consuming, in particular for practical purposes. The proposed TS is tested using the daily closing prices from January 2, 2001, to June 30, 2016, of eight Italian stocks of different economic sectors. As benchmark, we consider the same TS but with standard time-window lengths. Irrespective of their signs, both in-sample and out-of-sample performances achieved by the TS with optimized parameters are better than those achieved by the benchmark, highlighting that parameter optimization can play an important role in TA-based TSs.

Suggested Citation

  • Marco Corazza & Francesca Parpinel & Claudio Pizzi, 2017. "An Evolutionary Approach to Improve a Simple Trading System," Springer Books, in: Marco Corazza & Florence Legros & Cira Perna & Marilena Sibillo (ed.), Mathematical and Statistical Methods for Actuarial Sciences and Finance, pages 83-95, Springer.
    • Handle: RePEc:spr:sprchp:978-3-319-50234-2_7
    DOI: 10.1007/978-3-319-50234-2_7
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a
    for a similarly titled item that would be available.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:sprchp:978-3-319-50234-2_7. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.