Indexed on: 01 Dec '00Published on: 01 Dec '00Published in: Computational Economics
Based on predictions of stock-pricesusing genetic programming (or GP), a possiblyprofitable trading strategy is proposed. A metricquantifying the probability that a specific timeseries is GP-predictable is presented first. It isused to show that stock prices are predictable. GPthen evolves regression models that produce reasonableone-day-ahead forecasts only. This limited ability ledto the development of a single day-trading strategy(SDTS) in which trading decisions are based onGP-forecasts of daily highest and lowest stock prices.SDTS executed for fifty consecutive trading days ofsix stocks yielded relatively high returns oninvestment.