This article is cited in 5 papers

Application of differential evolution algorithm for optimization of strategies based on financial time series

O. G. Monakhov^a, E. A. Monakhova^a, M. Pant<sup>b

a</sup> Institute of Computational Mathematics and Mathematical Geophysics SB RAS, 6 Lavrentiev pr., Novosibirsk, 630090, Russia
^b Department of Applied Science and Engineering, New Technology Block, Saharanpur Campus of IIT, Roorkee, Saharanpur-247667, India

Abstract: An approach to optimization of trading strategies (algorithms) based on indicators of financial markets and evolutionary computation is described. A new version of the differential evolution algorithm for the search for optimal parameters of trading strategies for the trading profit maximization is used. The experimental results show that this approach can considerably improve the profitability of the trading strategies.

Key words: trading strategy, parallel genetic algorithm, technical analysis, financial indicator, template, evolutionary computation.

UDC: 519.85

Received: 14.09.2015

DOI: 10.15372/SJNM20160206

 English version: Numerical Analysis and Applications, 2016, 9:2, 150–158

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