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Evolving Trading Rules with XCSF

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Daniele Loiacono
Daniele Loiacono
BusinessEconomy & Finance
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Evolving Trading Rules with XCSF Daniele Loiacono Artificial Intelligence and Robotics Laboratory, Politecnico di Milano, Italy GECCO'07, July 7-11, 2007, London, UK.
Outline ,[object Object],[object Object],[object Object],[object Object]
What is a learning classifier system? ,[object Object],[object Object],[object Object],[object Object]
XCSF ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object]
Outline ,[object Object],[object Object],[object Object],[object Object]
The Framework STOCK10 Volume Price STOCK1 Volume Price STOCK2 Volume Price ………………… INPUT ? SYSTEM Buy/Sell transactions… for earning a lot of $$$
Problem Decomposition STOCK10 Volume Price STOCK1 Volume Price STOCK2 Volume Price ………………… INPUT Buy/Sell transactions… for earning a lot of $$$ STOCK1 Expert STOCK2 Expert STOCK3 Expert Merge Expert …………………
The stock experts INPUT BUY HOLD SELL Action Suggested FEATURE EXTRACTION AND NORMALIZATION EXPERT KB EVOLVED WITH XCSF
Feature Extraction ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object]
Evolving the KB ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object]
Merging Expert ,[object Object],[object Object],[object Object],[object Object]
Outline ,[object Object],[object Object],[object Object],[object Object]
Experimental setup ,[object Object],[object Object],[object Object],[object Object]
Validation results
Test Results ,[object Object]
Outline ,[object Object],[object Object],[object Object],[object Object]
Discussion of results ,[object Object],[object Object],[object Object],TRAINING SET
Discussion of results ,[object Object],[object Object],[object Object],VALIDATION SET
Discussion of results ,[object Object],[object Object],[object Object],TEST SET
Conclusions ,[object Object],[object Object],[object Object],[object Object],[object Object]

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Evolving Trading Rules with XCSF

  • 1. Evolving Trading Rules with XCSF Daniele Loiacono Artificial Intelligence and Robotics Laboratory, Politecnico di Milano, Italy GECCO'07, July 7-11, 2007, London, UK.
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  • 6. The Framework STOCK10 Volume Price STOCK1 Volume Price STOCK2 Volume Price ………………… INPUT ? SYSTEM Buy/Sell transactions… for earning a lot of $$$
  • 7. Problem Decomposition STOCK10 Volume Price STOCK1 Volume Price STOCK2 Volume Price ………………… INPUT Buy/Sell transactions… for earning a lot of $$$ STOCK1 Expert STOCK2 Expert STOCK3 Expert Merge Expert …………………
  • 8. The stock experts INPUT BUY HOLD SELL Action Suggested FEATURE EXTRACTION AND NORMALIZATION EXPERT KB EVOLVED WITH XCSF
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