Evolutionary approach to combine statistical forecasting models and improve trading system

The focus of this contribution is to propose an improvement of technical analysis now widely used by many traders. The point is that a huge number of indicators and oscillators has been proposed in the literature but they do not always provide the same signals on a market trend reversal. Furthermore, it is well known that each indicator or oscillator depends on some parameters that are often selected in a subjective way. We are interested to propose a less subjective trading strategy. In this framework two problems arise: on one hand we have to find the weighted combination of the different indicators in order to provide the best possible signal, on the other hand we have to select the best setting of indicators’ and oscillators’ parameters. In other words we have to tackle an optimization problem that implies the conjoint choice of the parameters characterizing indicators and oscillators and of the associated weights providing a single signal.