Title :
A dynamic stock trading system based on a Multi-objective Quantum-Inspired Tabu Search algorithm
Author :
Yao-Hsin Chou ; Shu-Yu Kuo ; Chun Kuo
Author_Institution :
Dept. of Comput. Sci. & Inf. Eng., Nat. Chi Nan Univ., Puli, Taiwan
Abstract :
Recently evolutionary algorithms, such as the Genetic Algorithm (GA), Genetic Programming (GP) and Particle Swarm Optimization (PSO), have become common approaches used in financial applications to address stock trading problems. In this paper, we propose a novel method called the Multi-objective Quantum-inspired Tabu Search (MOQTS) algorithm, which can be applied in a stock trading system. Determining the best time to buy and sell in the stock market and maximizing profits while incurring fewer risks are important issues in financial research. In order to identify ideal trading points, the proposed trading system uses various kinds of technical indicators as trading rules in order to cope with different stock situations. The proposed algorithm is used to identify the optimal combination of trading rules as our trading strategy. Moreover, it makes use of a sliding window in order to avoid the major problem of over-fitting. In the experiment, the algorithm uses both profit earned and other aspects, such as successful transaction rate and standard deviation, to analyze this system. The experimental results, in relation to profit earned and successful transaction rates in the U.S.A stock market, outperform both the traditional method and the Buy & Hold method which are common benchmarks in the field.
Keywords :
profitability; search problems; stock markets; MOQTS algorithm; U.S.A stock market; dynamic stock trading system; financial research; multiobjective quantum-inspired tabu search algorithm; profit maximization; sliding window; standard deviation; technical indicators; trading rules; transaction rate; Encoding; Evolutionary computation; Genetic algorithms; Heuristic algorithms; Indexes; Quantum computing; Stock markets;
Conference_Titel :
Systems, Man and Cybernetics (SMC), 2014 IEEE International Conference on
Conference_Location :
San Diego, CA
DOI :
10.1109/SMC.2014.6973893