Genetic algorithms for the investment of the mutual fund with global trend indicator
► We propose the global trend indicator (GTI), which is useful for evaluating the trend of funds in the future. ► We derive the monitoring indicator (MI), which can effectively determine whether the fund market is bull or bear. ► For buying and selling funds, we devise a genetic algorithm that dynam...
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| Veröffentlicht in: | Expert systems with applications 2011-03, Vol.38 (3), p.1697-1701 |
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| container_title | Expert systems with applications |
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| creator | Tsai, Tsung-Jung Yang, Chang-Biau Peng, Yung-Hsing |
| description | ► We propose the global trend indicator (GTI), which is useful for evaluating the trend of funds in the future. ► We derive the monitoring indicator (MI), which can effectively determine whether the fund market is bull or bear. ► For buying and selling funds, we devise a genetic algorithm that dynamically select funds according to their past profitability. ► The experiment is a long-term (10
years) investment on mutual funds, and we achieve the annual profit higher than 10%.
Our investment strategy for the world mutual funds can be divided into three main parts. First, the global trend indicator (GTI) is defined for evaluating the price change trend of the funds in the future. Then, based on GTI, we derive the monitoring indicator (MI) to measure whether the fund market is in the bull or bear state. Finally, to decide the signal for buying or selling funds, a genetic algorithm is invoked to dynamically select funds according to their past performances (profitability). In our experimental results from January 1999 to December 2008 (10
years in total), we achieve the annual profit higher than 10%. |
| doi_str_mv | 10.1016/j.eswa.2010.07.094 |
| format | Article |
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years) investment on mutual funds, and we achieve the annual profit higher than 10%.
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years) investment on mutual funds, and we achieve the annual profit higher than 10%.
Our investment strategy for the world mutual funds can be divided into three main parts. First, the global trend indicator (GTI) is defined for evaluating the price change trend of the funds in the future. Then, based on GTI, we derive the monitoring indicator (MI) to measure whether the fund market is in the bull or bear state. Finally, to decide the signal for buying or selling funds, a genetic algorithm is invoked to dynamically select funds according to their past performances (profitability). In our experimental results from January 1999 to December 2008 (10
years in total), we achieve the annual profit higher than 10%.</description><subject>Algorithm</subject><subject>Bears</subject><subject>Expert systems</subject><subject>Fund</subject><subject>Genetic</subject><subject>Genetic algorithms</subject><subject>Indicator</subject><subject>Indicators</subject><subject>Investment strategy</subject><subject>Markets</subject><subject>Monitoring</subject><subject>Profitability</subject><subject>Trends</subject><issn>0957-4174</issn><issn>1873-6793</issn><fulltext>true</fulltext><rsrctype>article</rsrctype><creationdate>2011</creationdate><recordtype>article</recordtype><recordid>eNp9kE1LAzEQhoMoWKt_wNPe9NKaNNnNLniRolUoeKnnkI9Jm7K7qUm2xX9vaj33NPDyvMPMg9A9wVOCSfW0nUI8yOkM5wDzKW7YBRqRmtNJxRt6iUa4KfmEEc6u0U2MW4wJx5iP0GoBPSSnC9mufXBp08XC-lCkDRSu30NMHfSp8PYv6YY0yLawQ2-KQ4aLdetVDlKAnLjeOC2TD7foyso2wt3_HKOvt9fV_H2y_Fx8zF-WE02rMuXToFZgKlkqZoy0ipGa1hVVxs4UtbYB2kBZA-GU12VpsMJMmdJqSalWYOkYPZz27oL_HvKtonNRQ9vKHvwQRc0aVjGGZ5l8PEtmGwSXlDOW0dkJ1cHHGMCKXXCdDD-CYHGULbbiKFscZQvMRZadS8-nEuR39w6CiNpBr8G4ADoJ4925-i-27Ins</recordid><startdate>20110301</startdate><enddate>20110301</enddate><creator>Tsai, Tsung-Jung</creator><creator>Yang, Chang-Biau</creator><creator>Peng, Yung-Hsing</creator><general>Elsevier Ltd</general><scope>AAYXX</scope><scope>CITATION</scope><scope>7SC</scope><scope>8FD</scope><scope>JQ2</scope><scope>L7M</scope><scope>L~C</scope><scope>L~D</scope></search><sort><creationdate>20110301</creationdate><title>Genetic algorithms for the investment of the mutual fund with global trend indicator</title><author>Tsai, Tsung-Jung ; Yang, Chang-Biau ; Peng, Yung-Hsing</author></sort><facets><frbrtype>5</frbrtype><frbrgroupid>cdi_FETCH-LOGICAL-c365t-67e8bed6a5b4ddafb4183863bdf2b3ff9e39e58e1737855d0b04bd5fca33cbef3</frbrgroupid><rsrctype>articles</rsrctype><prefilter>articles</prefilter><language>eng</language><creationdate>2011</creationdate><topic>Algorithm</topic><topic>Bears</topic><topic>Expert systems</topic><topic>Fund</topic><topic>Genetic</topic><topic>Genetic algorithms</topic><topic>Indicator</topic><topic>Indicators</topic><topic>Investment strategy</topic><topic>Markets</topic><topic>Monitoring</topic><topic>Profitability</topic><topic>Trends</topic><toplevel>peer_reviewed</toplevel><toplevel>online_resources</toplevel><creatorcontrib>Tsai, Tsung-Jung</creatorcontrib><creatorcontrib>Yang, Chang-Biau</creatorcontrib><creatorcontrib>Peng, Yung-Hsing</creatorcontrib><collection>CrossRef</collection><collection>Computer and Information Systems Abstracts</collection><collection>Technology Research Database</collection><collection>ProQuest Computer Science Collection</collection><collection>Advanced Technologies Database with Aerospace</collection><collection>Computer and Information Systems Abstracts Academic</collection><collection>Computer and Information Systems Abstracts Professional</collection><jtitle>Expert systems with applications</jtitle></facets><delivery><delcategory>Remote Search Resource</delcategory><fulltext>fulltext</fulltext></delivery><addata><au>Tsai, Tsung-Jung</au><au>Yang, Chang-Biau</au><au>Peng, Yung-Hsing</au><format>journal</format><genre>article</genre><ristype>JOUR</ristype><atitle>Genetic algorithms for the investment of the mutual fund with global trend indicator</atitle><jtitle>Expert systems with applications</jtitle><date>2011-03-01</date><risdate>2011</risdate><volume>38</volume><issue>3</issue><spage>1697</spage><epage>1701</epage><pages>1697-1701</pages><issn>0957-4174</issn><eissn>1873-6793</eissn><abstract>► We propose the global trend indicator (GTI), which is useful for evaluating the trend of funds in the future. ► We derive the monitoring indicator (MI), which can effectively determine whether the fund market is bull or bear. ► For buying and selling funds, we devise a genetic algorithm that dynamically select funds according to their past profitability. ► The experiment is a long-term (10
years) investment on mutual funds, and we achieve the annual profit higher than 10%.
Our investment strategy for the world mutual funds can be divided into three main parts. First, the global trend indicator (GTI) is defined for evaluating the price change trend of the funds in the future. Then, based on GTI, we derive the monitoring indicator (MI) to measure whether the fund market is in the bull or bear state. Finally, to decide the signal for buying or selling funds, a genetic algorithm is invoked to dynamically select funds according to their past performances (profitability). In our experimental results from January 1999 to December 2008 (10
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| language | eng |
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| source | Elsevier ScienceDirect Journals |
| subjects | Algorithm Bears Expert systems Fund Genetic Genetic algorithms Indicator Indicators Investment strategy Markets Monitoring Profitability Trends |
| title | Genetic algorithms for the investment of the mutual fund with global trend indicator |
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