| Presentation | 2013-12-12 A Consideration on relationship between optimizing interval and dealing day in optimization of stock day trading rules Shingo Omoto, Hiroyuki Takehana, Makoto Ohki, |
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| Abstract(in Japanese) | (See Japanese page) |
| Abstract(in English) | In this paper, a new technique to create a strategy tree expressing the day trading rule by using the technical indicators. The technical indicators is generaly used in the stock trading and predict the changes in the futreu based on the price movement of the past. The strategy tree is optimized by using genetic programming. In this reasech, several parameters for trading criteria are optimized by using perticle swarm optimization technique. Besides, we propose a loss-cut technique to the day trading rule. By means of the loss-cut technique, we aim to provide stability of the acquired day trading rule. We also propose a technique to apply the acquired rule to the day immediately following the optimization pereod. |
| Keyword(in Japanese) | (See Japanese page) |
| Keyword(in English) | Genetic Programming / Particle Swarm Optimization / Stock trading / Technical indicators |
| Paper # | SIS2013-39 |
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| Committee | SIS |
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| Conference Date | 2013/12/5(1days) |
| Place (in Japanese) | (See Japanese page) |
| Place (in English) | |
| Topics (in Japanese) | (See Japanese page) |
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| Registration To | Smart Info-Media Systems (SIS) |
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| Language | JPN |
| Title (in Japanese) | (See Japanese page) |
| Sub Title (in Japanese) | (See Japanese page) |
| Title (in English) | A Consideration on relationship between optimizing interval and dealing day in optimization of stock day trading rules |
| Sub Title (in English) | |
| Keyword(1) | Genetic Programming |
| Keyword(2) | Particle Swarm Optimization |
| Keyword(3) | Stock trading |
| Keyword(4) | Technical indicators |
| 1st Author's Name | Shingo Omoto |
| 1st Author's Affiliation | Faculty of Engineering, Tottori University() |
| 2nd Author's Name | Hiroyuki Takehana |
| 2nd Author's Affiliation | Faculty of Engineering, Tottori University |
| 3rd Author's Name | Makoto Ohki |
| 3rd Author's Affiliation | Faculty of Engineering, Tottori University |
| Date | 2013-12-12 |
| Paper # | SIS2013-39 |
| Volume (vol) | vol.113 |
| Number (no) | 343 |
| Page | pp.pp.- |
| #Pages | 4 |
| Date of Issue | |