Objective function design in a grammatical evolutionary trading system

Congress on Evolutionary Computation, IEEE World Congress on Computational Intelligence, Barcelona, Spain, 18-23 JulyDesigning a suitable objective function is an essential step in successfully applying an evolutionary algorithm to a problem. In this study we apply a grammar-based Genetic Programming algorithm called Grammatical Evolution to the problem of trading model induction and carry out a number of experiments to assess the effect of objective function design on the trading characteristics of the evolved strategies. The paper concludes with in and out-of-sample results, and indicates a number of avenues of future work.Science Foundation IrelandConference detailshttp://www.wcci2010.org