Boosting Trading Strategies performance using VIX indicator together with a dual-objective Evolutionary Computation optimizer

作者：

Highlights：

• This work proposes a new EC approach to boost Trading Strategies (TS) performance.

• TSs combining Volatility Index (VIX) and other Technical Indicators is proposed.

• A dual-objective EC adaptive approach is used to reduce human intervention.

• The approach is able to evolve a set of TSs for the diverse profiles of investors.

• The results found outperform the main stock market indexes.

摘要

•This work proposes a new EC approach to boost Trading Strategies (TS) performance.•TSs combining Volatility Index (VIX) and other Technical Indicators is proposed.•A dual-objective EC adaptive approach is used to reduce human intervention.•The approach is able to evolve a set of TSs for the diverse profiles of investors.•The results found outperform the main stock market indexes.

论文关键词：Time series prediction,Multi-Objective Optimization,Stock market forecast,Technical analysis,Financial markets,Dynamic systems,Multiple technical indicators

论文评审过程：Available online 30 April 2015, Version of Record 26 May 2015.

论文官网地址：https://doi.org/10.1016/j.eswa.2015.04.056