PSO for the Sharpe Ratio in a Financial Trading System Based on Technical Analysis

被引：0
作者：
Corazza, Marco [1 ]
Pizzi, Claudio [1 ]
Marchioni, Andrea [2 ]
机构：
[1] Ca Foscari Univ Venice, Venice, Italy
[2] Univ Tuscia, Viterbo, Italy
来源：
MATHEMATICAL AND STATISTICAL METHODS FOR ACTUARIAL SCIENCES AND FINANCE, MAF2024 | 2024年
关键词：
Trading system; Particle Swarm Optimization/PSO; Sharpe Ratio;
D O I：
10.1007/978-3-031-64273-9_16
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
We consider four technical indicators widely used in financial practice to determine the optimal signal aggregation, trading rule definition, and indicator setting using the Particle Swarm Optimization metaheuristic applied to an important financial fitness function, that is the Sharpe Ratio. We experiment our trading system to the Italian index FTSE MIB and to a set of financial stocks belonging to the FTSE MIB over a multi-year period for training and testing. We generally achieve superior out-of-sample performance, using a standard technical analysis system as a benchmark.
引用
收藏
页码：93 / 98
页数：6
相关论文
共 50 条
  • [31] A Hybrid Algorithm Based on PSO and DE and Its Application in Complexity System
    Yang, Yahong
    Wang, Ying
    ADVANCED MECHANICAL ENGINEERING, PTS 1 AND 2, 2010, 26-28 : 1155 - +
  • [32] Parameter identification of governor-turbine system based on a PSO algorithm
    Abdalla, Ahmed N.
    Li, Kui
    Cheng, Shijie
    Wen, Jinyu
    Zhang, Jing
    DYNAMICS OF CONTINUOUS DISCRETE AND IMPULSIVE SYSTEMS-SERIES B-APPLICATIONS & ALGORITHMS, 2007, 14 : 1 - 6
  • [33] A PSO Based PIDF Controller for Multiarea Multisource System Incorporating Dish Stirling Solar System
    Panda, Anshuman
    Das, Animesh
    Pati, Subhranshu Shekhar
    Mishra, Saroj Kumar
    PROCEEDINGS OF THE 2019 INTERNATIONAL CONFERENCE ON INTELLIGENT COMPUTING AND CONTROL SYSTEMS (ICCS), 2019, : 1458 - 1462
  • [34] Paxos-Based Memory Data Replication in Stock Trading System
    Huang, Xiaodong
    Zhang, Yong
    Xing, Chunxiao
    Huang, Yinfei
    Wu, Jianfeng
    Bai, Shuo
    2012 IEEE 36TH ANNUAL COMPUTER SOFTWARE AND APPLICATIONS CONFERENCE (COMPSAC), 2012, : 340 - +
  • [35] CONSTRUCTION OF CARBON EMISSION TRADING SYSTEM BASED ON BLOCK CHAIN TECHNOLOGY
    Wu Qian-qiong
    Su Wei
    Wang Jia-jun
    Hu Zhao-yi
    Duan Ming
    JOURNAL OF ENVIRONMENTAL PROTECTION AND ECOLOGY, 2022, 23 (02): : 900 - 907
  • [36] Research on Automated Forex Trading System Based on BP Neural Network
    Meng, Li
    Sun, Yang
    MATERIALS PROCESSING AND MANUFACTURING III, PTS 1-4, 2013, 753-755 : 3080 - 3083
  • [37] FPGA Implementation of PSO-Based Object Tracking System Using SSIM
    Morsi, Niveen Nasr
    Abdelhalim, M. B.
    Shehata, Khaled Ali
    2013 25TH INTERNATIONAL CONFERENCE ON MICROELECTRONICS (ICM), 2013,
  • [38] PSO based CCII PID Controller for a Continuous Stirred Tank Reactor System
    Gupta, Pooja
    Appasani, Bhargav
    Verma, Vijay Kumar
    Ranjan, Rajeev Kumar
    2017 IEEE INTERNATIONAL CONFERENCE ON POWER, CONTROL, SIGNALS AND INSTRUMENTATION ENGINEERING (ICPCSI), 2017, : 2786 - 2789
  • [39] Robust Power System Stabilizer Design Using PSO based DK Iteration
    Santra, Swapan
    Paul, Subrata
    PROCEEDINGS OF THE 2017 IEEE SECOND INTERNATIONAL CONFERENCE ON ELECTRICAL, COMPUTER AND COMMUNICATION TECHNOLOGIES (ICECCT), 2017,
  • [40] Bio-Inspired PSO for Improving Neural Based Diabetes Prediction System
    Khan M.Z.
    Mangayarkarasi R.
    Vanmathi C.
    Angulakshmi M.
    Journal of ICT Standardization, 2022, 10 (02): : 179 - 200
12345