Bradley, Robert

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Bradley, Robert
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Bradley, Robert

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  • Publication
    Objective function design in a grammatical evolutionary trading system
    (IEEE Press, 2010-07)
    Bradley, Robert 
    ;
    Brabazon, Anthony 
    ;
    O'Neill, Michael 
    Designing a suitable objective function is an essential step in successfully applying an evolutionary algorithm to a problem. In this study we apply a grammar-based Genetic Programming algorithm called Grammatical Evolution to the problem of trading model induction and carry out a number of experiments to assess the effect of objective function design on the trading characteristics of the evolved strategies. The paper concludes with in and out-of-sample results, and indicates a number of avenues of future work.
      1790Scopus© Citations 5
  • Publication
    Evolving trading rule-based policies
    (Springer, 2010-04)
    Bradley, Robert 
    ;
    Brabazon, Anthony 
    ;
    O'Neill, Michael 
    Trading-rule representation is an important factor to consider when designing a quantitative trading system. This study implements a trading strategy as a rule-based policy. The result is an intuitive human-readable format which allows for seamless integration of domain knowledge. The components of a policy are specified and represented as a set of rewrite rules in a context-free grammar. These rewrite rules define how the components can be legally assembled. Thus, strategies derived from the grammar are well-formed, domain-specific, solutions. A grammar-based Evolutionary Algorithm, Grammatical Evolution (GE), is then employed to automatically evolve intra-day trading strategies for the U.S. Stock Market. The GE methodology managed to discover profitable rules with realistic transaction costs included. The paper concludes with a number of suggestions for future work.
      841Scopus© Citations 3