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A Comparative Study of Heuristic Conversion Algorithms, Genetic Programming and Return Predictability on the German Market

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EVOLVE- A Bridge between Probability, Set Oriented Numerics and Evolutionary Computation

Part of the book series: Studies in Computational Intelligence ((SCI,volume 447))

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Abstract

This paper evaluates the predictability of the heuristic conversion algorithms Moving Average Crossover and Trading Range Breakout in the German stock market. Hypothesis testing and a bootstrap procedure are used to test for predictive ability. Results show that the algorithms considered do not have predictive ability. Further, Genetic Programming is used to adapt the buying and selling rules of the investigated algorithms resulting in a new algorithm. Results show that a genetic programming approach does not lead to good new algorithms. We extend former works by using the Sortino Ratio as a measure of risk, and by applying competitive analysis.

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Authors and Affiliations

  1. Saarland University, P.O. Box 151150, D-66041, Saarbrücken, Germany

    Esther Mohr & Günter Schmidt

  2. Banking and Financial Services, University of Hohenheim, D-70593, Stuttgart, Germany

    Sebastian Jansen

Authors
  1. Esther Mohr
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  2. Günter Schmidt
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  3. Sebastian Jansen
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Corresponding author

Correspondence to Esther Mohr .

Editor information

Editors and Affiliations

  1. Computer Science and Communications, Research Unit, University of Luxembourg, rue Richard Coudenhove-Kalergi 6, Luxembourg, L-1359, Luxembourg

    Emilia Tantar

  2. , Computer Science and Communications, University of Luxembourg, rue Richard Coudenhove-Kalergi 6, Luxembourg, 1359, Luxembourg

    Alexandru-Adrian Tantar

  3. Computer Science, and Communications, University of Luxembourg, rue Richard Coudenhove-Kalergi 6, Luxembourg, L-1359, Luxembourg

    Pascal Bouvry

  4. Bordeaux Mathematical Institute, INRIA Bordeaux-Sud Ouest, Université Bordeaux I, cours de la Libération 351, Talence Cedex, 33405, France

    Pierre Del Moral

  5. Bâtiment Leyteire, UFR Sciences et Modélisation, Université Bordeaux II, 3ter place de la Victoire, Bordeaux, 33000, France

    Pierrick Legrand

  6. , Computer Science Department, CINVESTAV-IPN, Col. San Pedro Zacatenco 2508, Mexico City, 07360, Mexico

    Carlos A. Coello Coello

  7. , Computer Science Department, CINVESTAV-IPN, Col. San Pedro Zacatenco 2508, Mexico City, 07360, Mexico

    Oliver Schütze

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Mohr, E., Schmidt, G., Jansen, S. (2013). A Comparative Study of Heuristic Conversion Algorithms, Genetic Programming and Return Predictability on the German Market. In: Tantar, E., et al. EVOLVE- A Bridge between Probability, Set Oriented Numerics and Evolutionary Computation. Studies in Computational Intelligence, vol 447. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-32726-1_12

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  • DOI: https://doi.org/10.1007/978-3-642-32726-1_12

  • Publisher Name: Springer, Berlin, Heidelberg

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