A Study on Index which Evaluates Automatic Trading Rules

Abstract

The purpose of our work was to examine which index is effective for reducing the overfitting. The purpose of this paper is to report on our work. For the purpose of our work, we constructed an automatic trading model using Genetic programming. We simulated the model using real foreign exchange market data to compare the asset based index and Sharpe Ratio based index. As a result, the case using Sharpe Ratio based index showed higher performances than the case using asset based index.