Genetic optimization of a trading algorithm based on pattern recognition
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Data
2019-11Autor
Ruiz-Cruz, Riemann
Sedano, Chelsie
Flores, Oscar
Metadata
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In the present paper, a trading strategy based onpattern recognition is optimized by means of a genetic algorithm.The genetic algorithm is used to determine decisions of buy/sellbased on the patterns found through time for a portfolio in thestock market. The predominant algorithms used in this workwere theK-means clustering algorithm to find the patterns indifferent time lapses, and the genetic algorithm for optimization.The results are supported by simulations using a selected sharesof the Mexican stock market.ITESO, A.C.