Threshold-Adjusted ORB Strategies with Genetic Algorithm and Protective Closing Strategy on Taiwan Futures Market.
Jia-Hao SyuMu-En WuChun-Hao ChenJan-Ming HoPublished in: ICASSP (2020)
Keyphrases
- genetic algorithm
- futures market
- investment strategies
- optimal strategy
- selection strategies
- selection strategy
- optimization strategies
- short run
- adaptive strategies
- neural network
- mixed strategy
- search strategies
- multi objective
- genetic algorithm ga
- fitness function
- long run
- trading strategies
- search strategy
- multi objective optimization
- ant colony optimization
- retrieval strategies
- metaheuristic
- non stationary
- simulated annealing
- evolutionary game theory
- programming language
- evolutionary algorithm
- search algorithm