Stock trading rule discovery with an evolutionary trend following model

作者：

Highlights：

• eTrend is a hybrid long-term and short-term evolutionary trend following model.

• eTrend generates high Sortino ratio and cumulative return after transaction cost.

• eTrend outperforms B&H strategy, as well as DT and ANN trading models.

• Concept drift analysis has identified adverse rules between bear and bull markets.

摘要

•eTrend is a hybrid long-term and short-term evolutionary trend following model.•eTrend generates high Sortino ratio and cumulative return after transaction cost.•eTrend outperforms B&H strategy, as well as DT and ANN trading models.•Concept drift analysis has identified adverse rules between bear and bull markets.

论文关键词：Evolutionary trend following algorithm (eTrend),eXtended Classifier System (XCS),Trading rule discovery,Concept drift

论文评审过程：Available online 8 August 2014.

论文官网地址：https://doi.org/10.1016/j.eswa.2014.07.059