Collaborative Multiobjective Evolutionary Algorithms in search of better
Pareto Fronts. An application to trading systems
- URL: http://arxiv.org/abs/2211.02451v1
- Date: Fri, 4 Nov 2022 13:37:41 GMT
- Title: Collaborative Multiobjective Evolutionary Algorithms in search of better
Pareto Fronts. An application to trading systems
- Authors: Francisco J. Soltero and Pablo Fern\'andez-Blanco and J. Ignacio
Hidalgo
- Abstract summary: This paper focuses on the real-time optimization of the parameters applied for analyzing time series of data.
In particular, we optimize the parameters of technical and financial indicators and propose other applications, such as glucose time series.
- Score: 0.4014524824655106
- License: http://creativecommons.org/licenses/by-nc-nd/4.0/
- Abstract: Technical indicators use graphic representations of data sets by applying
various mathematical formulas to financial time series of prices. These
formulas comprise a set of rules and parameters whose values are not
necessarily known and depend on many factors: the market in which it operates,
the size of the time window, and others. This paper focuses on the real-time
optimization of the parameters applied for analyzing time series of data. In
particular, we optimize the parameters of technical and financial indicators
and propose other applications, such as glucose time series. We propose the
combination of several Multi-objective Evolutionary Algorithms (MOEAs). Unlike
other approaches, this paper applies a set of different MOEAs, collaborating to
construct a global Pareto Set of solutions. Solutions for financial problems
seek high returns with minimal risk. The optimization process is continuous and
occurs at the same frequency as the investment time interval. This technique
permits the application of non-dominated solutions obtained with different
MOEAs simultaneously. Experimental results show that this technique increases
the returns of the commonly used Buy \& Hold strategy and other multi-objective
strategies, even for daily operations.
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