Abstract
Technical analysis is a widely used approach for trading securities. Various indicators are used, such as moving average, stochastic oscillator and relative strength index. Applications of these indicators are typically based on experiences and rules of thumb which hardly are effective in general. This paper presents a technique for evolving indicator parameters using Non-Dominated Sorting Genetic Algorithm II and combining the indicators to generate a trading strategy. Experiments are conducted using actual stocks from the Stock Exchange of Thailand show that the proposed technique generates trading strategies that outperform other well-known techniques and is applicable to real world security trading.
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