Finding technical trading rules in high-frequency data by using genetic programming

2014-07-24I use genetic programming to find technical trading rules of S&P 500 index, using one‐minute high frequency intraday data during about one and half years. The model in this paper also considers short sell when necessary. Without or with very low transaction fee, the model finds several rules that provide positive excess return, i.e. return over return of passive strategy (buy and hold). While when the transaction cost is high enough, there is no rule that can generate positive excess return. And when transaction cost is greater, it is very hard to apply the model to high frequency data