Co-evolved genetic programs for stock market trading

The profitability of trading rules evolved by three different optimised genetic programs, namely a single population genetic program (GP), a co-operative co-evolved GP, and a competitive co-evolved GP is compared. Profitability is determined by trading thirteen listed shares on the Johannesburg Stock Exchange (JSE) over a period of April 2003 to June 2008. An empirical study presented here shows that GPs can generate profitable trading rules across a variety of industries and market conditions. The results show that the co-operative co-evolved GP generates trading rules perform significantly worse than a single population GP and a competitively co-evolved GP. The results also show that a competitive co-evolved GP and the single population GP produce similar trading rules. The profits returned by the evolved trading rules are compared to the profit returned by the buy-and-hold trading strategy. The evolved trading rules significantly outperform the buy-and-hold strategy when the market trends downwards. No significant difference is identified among the buy-and-hold strategy, the competitive co-evolved GP, and single population GP when the market trends upwards.