Evolving profitable trading rules with genetic algorithms

Abstract

The goal of this study is to mine reasonable trading rules using genetic algorithms (GAs) for the Korea Stock Price Index 200 (KOSPI 200) futures. During the course of this study, we have found trading rules that would have yielded the highest returns over a certain time period using historical data. The simulated results of buying and selling according to the trading rules were outstanding. These experimental results suggest that genetic algorithms are promising methods for extracting profitable trading rules. © 2012 International Information Institute.