Combining technical trading rules using particle swarm optimization

作者：

Highlights：

• Vast combination of simple technical trading rules.

• A reward/penalty mechanism for updating component weights dynamically over time.

• Time variant particle swarm optimization for optimal trading strategy searching.

• Use bootstrapping methodology to access the trading performance.

• High performance of proposed trading strategy in terms of both profit and risk.

摘要

•Vast combination of simple technical trading rules.•A reward/penalty mechanism for updating component weights dynamically over time.•Time variant particle swarm optimization for optimal trading strategy searching.•Use bootstrapping methodology to access the trading performance.•High performance of proposed trading strategy in terms of both profit and risk.

论文关键词：Technical trading rules,Particle swarm optimization,Bootstrapping

论文评审过程：Available online 24 October 2013.

论文官网地址：https://doi.org/10.1016/j.eswa.2013.10.032