• ISSN: 2010-023X (Print)
    • Abbreviated Title: Int. J. Trade, Economics and Financ.
    • Frequency: Quaterly
    • DOI: 10.18178/IJTEF
    • Editor-in-Chief: Prof.Tung-Zong (Donald) Chang
    • Managing Editor: Ms. Shira. W. Lu
    • Abstracting/ Indexing:  Crossref, Electronic Journals Library , EBSCO
    • E-mail: ijtef.editorial.office@gmail.com
HOME > Archive > 2015 > Volume 6 Number 2 (Apr. 2015) >
IJTEF 2015 Vol.6(2): 112-116 ISSN: 2010-023X
DOI: 10.7763/IJTEF.2015.V6.453

Generating Intraday Trading Rules on Index Future Markets Using Genetic Programming

Liu Hongguang and Ji Ping

Abstract—Technical analysis has been utilized in the design of many kinds of trading models. Recent results indicate that this market timing approach beats the traditional buy and hold approach in most of the short term trading periods. Genetic programming based on technical analysis was introduced as a mean to automatically generate and optimize short term trading rules on the stock markets in the last decade. Most of the study in history applied genetic programming to the financial time series daily, weekly or even monthly, and reported that no excess return can be obtained with the consideration of transaction cost. This study uses intraday time series to fully exploit the short term forecasting advantage of technical analysis. The utilization of intraday data to train the trading rules can avoid the jumping points in the daily or monthly data, as relevant information is assumed to be fully digested during the market close periods. The emerging market of China Hushen 300 Index Future contract is used to test the efficiency of the proposed trading strategies developed by genetic programming, positive return is obtained.

Index Terms—Intraday trading, genetic programming, technical analysis, HuShen 300 index future.

The authors are with the Hong Kong Polytechnic University (e-mail: redblack.liu@gmail.com, p.ji@polyu.edu.hk).

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Cite: Liu Hongguang and Ji Ping, "Generating Intraday Trading Rules on Index Future Markets Using Genetic Programming," International Journal of Trade, Economics and Finance vol.6, no.2, pp. 112-116, 2015.

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