Application of differential evolution algorithm for optimization of strategies based on financial time series
Oleg Gennad'evich Monakhov1, Emiliya Anatol'evna Monakhova1, Millie Pant2
1Institute of Computational Mathematics and Mathematical Geophysics SB RAS, pr. Lavrentieva, 6, Novosibirsk, 630090
2New Technology Block, Saharanpur Campus of IIT, Roorkee, Saharanpur-247667, India
Keywords: торговые стратегии, алгоритм дифференциальной эволюции, финансовый индикатор, эволюционные вычисления, trading strategy, parallel genetic algorithm, technical analysis, financial indicator, template, evolutionary computation
Abstract
An approach to optimization of trading strategies (algorithms) based on indicators of financial markets and evolutionary computation is described. A new version of the differential evolution algorithm for the search for optimal parameters of trading strategies for the trading profit maximization is used. The experimental results show that this approach can considerably improve the profitability of the trading strategies.
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