Geodesic
Application of differential evolution algorithm for optimization of strategies based on financial time series
Sibirskij žurnal vyčislitelʹnoj matematiki, Tome 19 (2016) no. 2, pp. 195-205

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An approach to optimization of trading strategies (algorithms) based on indicators of financial markets and evolutionary computation is described. A new version of the differential evolution algorithm for the search for optimal parameters of trading strategies for the trading profit maximization is used. The experimental results show that this approach can considerably improve the profitability of the trading strategies. 
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     author = {O. G. Monakhov and E. A. Monakhova and M. Pant},
     title = {Application of differential evolution algorithm for optimization of strategies based on financial time series},
     journal = {Sibirskij \v{z}urnal vy\v{c}islitelʹnoj matematiki},
     pages = {195--205},
     publisher = {mathdoc},
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     number = {2},
     year = {2016},
     language = {ru},
     url = {http://geodesic.mathdoc.fr/item/SJVM_2016_19_2_a5/}
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O. G. Monakhov; E. A. Monakhova; M. Pant. Application of differential evolution algorithm for optimization of strategies based on financial time series. Sibirskij žurnal vyčislitelʹnoj matematiki, Tome 19 (2016) no. 2, pp. 195-205. http://geodesic.mathdoc.fr/item/SJVM_2016_19_2_a5/