The simple strategy defined is the following:
- The symbol used is “IBM” (you can use any other symbol)
- A SVM (Support Vector Machine) predicts the close value of the next day, and when the value is mayor than the previous day, we obtain a buy signal and otherwise a shell signal.
- The training data used are historical prizes (close, high, volumen) from 2006 to 2009
- The validation is done with historical information from 2010
- It is calculated the following indicators RSI, EMA 7, EMA 50, EMA 200, MACD y ADX.
- It is created a two days delay temporal window for all historical values.
The results are: Initial ROC of the past tutorial
The trading % win in the past strategy:
Evolving feature selection in 40 generation, the final ROC performance is improved.
The ROC funtion improved is the following:
The % win trades is also improved
It is possible to select other kind of optimization algorithm and to maximize or minimize other value like drawdown or other type of ratios like Kelly or sharpen ratio. In the next tutorial, I will improve the trading operation in order to make as real as possible and to incorporate as XML configuration files the symbols.
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