著者

藤原 健太 伊庭 斉志

出版者

一般社団法人 人工知能学会

雑誌

人工知能学会第二種研究会資料 (ISSN:24365556)

巻号頁・発行日

vol.2009, no.FIN-003, pp.11, 2009-09-12 (Released:2023-01-06)

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In this paper, we proposed automated trading system using Genetic Algorithm(GA) and Genetic Programming(GP). There are many reports which focus on system trading. In recent years, these researches have attracted attention because of impact of finance crisis. Among them, we focus on two area, one is optimization of technical indicators, the other is optimization of technical indicators combination. There is not research which focuses on both parts. So we proposed automated trading system by optimizing indicators and combination of them. At first, their parameters are optimized by GA. Each indicator is fitted on movement of current market by this process. Then, using optimized indicators, combination of them is optimized by GP to generate buy-sell strategy. To verify effectiveness of proposal method, we simulated using real data given by Gaitame.com. Consequently, we got good result and verified effectiveness of proposal method.