GitHub - atopuzov/gp-market-trading: Implementation of finding "trading rules" using genetic programming. Uses OpenBeagle and C++ for implementation.

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Implementation of finding "trading rules" using genetic programming. Uses OpenBeagle and C++ for implementation.

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Name		Name	Last commit message	Last commit date
Latest commit History 109 Commits
cmake/Modules		cmake/Modules
imp		imp
plot		plot
results		results
run		run
stats		stats
.hgignore		.hgignore
Abs.cpp		Abs.cpp
Abs.hpp		Abs.hpp
Avg.cpp		Avg.cpp
Avg.hpp		Avg.hpp
CMakeLists.txt		CMakeLists.txt
ConstantDouble.cpp		ConstantDouble.cpp
ConstantDouble.hpp		ConstantDouble.hpp
Context.cpp		Context.cpp
Context.hpp		Context.hpp
EMA.cpp		EMA.cpp
EMA.hpp		EMA.hpp
EphemeralDay.cpp		EphemeralDay.cpp
EphemeralDay.hpp		EphemeralDay.hpp
Eq.cpp		Eq.cpp
Eq.hpp		Eq.hpp
Fitness.cpp		Fitness.cpp
Fitness.hpp		Fitness.hpp
GreaterThan.cpp		GreaterThan.cpp
GreaterThan.hpp		GreaterThan.hpp
IfThenElse.cpp		IfThenElse.cpp
IfThenElse.hpp		IfThenElse.hpp
LICENSE		LICENSE
LessThan.cpp		LessThan.cpp
LessThan.hpp		LessThan.hpp
MACD.cpp		MACD.cpp
MACD.hpp		MACD.hpp
Makefile		Makefile
Max.cpp		Max.cpp
Max.hpp		Max.hpp
Min.cpp		Min.cpp
Min.hpp		Min.hpp
PPO.cpp		PPO.cpp
PPO.hpp		PPO.hpp
Primitives.cpp		Primitives.cpp
Primitives.hpp		Primitives.hpp
README		README
ROC.cpp		ROC.cpp
ROC.hpp		ROC.hpp
RSI.cpp		RSI.cpp
RSI.hpp		RSI.hpp
StatsCalcOp.cpp		StatsCalcOp.cpp
StatsCalcOp.hpp		StatsCalcOp.hpp
TermOp.cpp		TermOp.cpp
TermOp.hpp		TermOp.hpp
eval.cpp		eval.cpp
eval.hpp		eval.hpp
ind.conf		ind.conf
individual.cpp		individual.cpp
main.cpp		main.cpp
prog.conf		prog.conf
s.bat		s.bat
sqlite3.h		sqlite3.h
ta.cpp		ta.cpp
ta.hpp		ta.hpp
util.hpp		util.hpp

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Genetric Programming Market Trading (GP)

This projects aim is to find trading rules using genetic programming (GP)
based on previous prices, volumes etc. and aditional basic tehnical trading
analysis functions. Generetad program in AST returns either true or false, true
meaning "signal to buy" or to "hold on" if already bought, and false to sell
if already bought or "not to buy". The value of the root of the tree can only
be true or folse (logical funcion, logical constant) and storngly typed
genetic programming is used (STGP). Implementation is using OpenBEAGLE a
versatile framework for genetic programming

Trading primitives
C price
V volume
MIN(D) minimum value of te last N days
MAX(D) maximum value of te last N days
AVG(D) average value of te last N days
ROC rate of change
RSI 

logical functions
IF if then else
GT greater than
LT less then
EQ equal
TRUE constant true
FALSE constant false

(c) 2008-2011 Aleksandar Topuzović
<aleksandar.topuzovic@fer.hr>, <aleksandar.topuzovic@gmail.com>