Mining Better Technical Trading Strategies with Genetic Algorithms
Jiarui Ni and Chengqi Zhang
University of Technology, Sydney
PO Box 123, Broadway, NSW 2007, Australia
{jiarui, chengqi}@it.uts.edu.au
Abstract
Technical analysis is one of the two main schools of
thought in the analysis of security prices. It is widely
believed and applied by many professional and amateur
traders. However, it is often criticized for lacking scien-
tific rigour or worse, for lacking any basis whatsoever. We
propose to explore the feasibility and/or limitation of techni-
cal analysis by the optimization of technical trading strate-
gies over historical stock data with genetic algorithms. This
paper presents the optimization problem in detail and dis-
cusses the potential problems to be tackled during the opti-
mization. Preliminary experiments show that it can identify
the limitations quickly.
1 Introduction
Technical analysis (or chartism) is the study of price
movement and trend in markets in order to forecast future
prices. Many different methods and tools are utilized in
technical analysis, but they all rely on the principle that
price patterns and trends exist in markets that can be iden-
tified and exploited. The rationality of technical analysis is
based on the following three hypotheses: 1) price action in
the market discounts everything; 2) prices move in trends;
and 3) history tends to repeat itself. [21]
Many market participants, especially active traders
(traders who are looking for quick profits), defend the prac-
tice and believe (and in some cases demonstrate) that it can
be profitable. However, not all research agrees with this
conclusion. Some academics and fundamentalist market
participants believe that technical analysis has no predictive
power. There is extensive research on technical analysis.
Some exhibit positive results for technical trading strate-
gies [6, 8], some give negative results [17, 19], and others
show mixed results in different situations [5], or claim that
technical analysis has forecasting ability but no profitability
[4, 16]. There has been no end to the debate so far, and the
debate is doomed to continue for a long time, if not forever.
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Backtesting is a concept closely related to trading strate-
gies. It is the concept of taking a strategy and going back
in time to see what would have happened if the strategy
had been faithfully followed. The assumption is that if the
strategy has worked previously, it has a good but not cer-
tain chance of working again in the future and conversely if
the concept has not worked well in the past, it probably will
not work well in the future. Backtesting has been widely
used in the practice and research in stock markets and other
financial markets, and many commercial products such as
MetaStock1 and TradeStation2 offer backtesting facility. It
helps the users learn how a trading strategy is likely to per-
form in the marketplace. It also provides the users with the
opportunity to improve a trading strategy.
During the backtesting process, one can optimize the
parameters of a technical trading strategy based on a spe-
cific performance criterion and verify the optimal parame-
ters with out-of-sample data. With the optimization, it is
possible to study the potential of a given trading strategy
under various conditions. However, depending on the num-
ber and range of parameters, the optimization process may
be very time consuming. Genetic algorithm (GA) can be
used to reduce the computation requirement. Some work
has been reported in this area [15, 12, 13, 14], however,
these reports focus on their specific targets and provide no
panorama of the problem.
This paper tries to present a comprehensive description
of this parameter optimization problem and summarize a list
of issues to be addressed during the optimization process.
The purpose of this paper is to provide a guideline for fu-
ture work in this area. The rest of this paper is organized
as follows. Section 2 illustrates several technical trading
strategies. Section 3 explains the backtesting process and
the optimization with GA. Section 4 lists the problems to be
tackled and points out how to get the work done efficiently.
Finally, we conclude this paper with some suggestions for
future work.
1 Presented by Equis International (www.equis.com)
2 Presented by TradeStation Securities (www.tradestation.com)
 2 Technical Trading Strategies falls below) Mt by more than a certain percentage θ. The
signal St is given by
There are many types of technical trading strategies. 

 1 if Pt > (1 + θ)Mt (l)
Some of them can date back to tens or even hundreds of 


 and Pt−k < Mt−k (l)
years ago and have been widely known and applied in prac- 


 and Mt−i (l) ≤ Pt−i ≤ (1 + θ)Mt−i (l),
tice. Today, these classical strategies are taught in many 

 ∀ i ∈ {1, · · · , k − 1}
textbooks and online courses, and they have been imple- St = −1 if Pt < (1 − θ)Mt (l)
mented in various products. For example, Tradetrek3 in- 


 and Pt−n > Mt−n (l)
cludes at least eight technical trading strategies in its prod- 


 and Mt−i (l) ≥ Pt−i ≥ (1 − θ)Mt−i (l),
uct: moving average crosses, candle stick trend reversal, 


 ∀ i ∈ {1, · · · , n − 1}
head-and-shoulders, range breakout, triangle breakout, cup- 
0 otherwise
with-a-handle, triple top/bottom, and stochastic combo. (3)
As time goes on, the magic of classical strategies fades A double MA strategy compares two MAs with differ-
due to this and that reason such as the change of the market ent lengths l1 and l2 where l1 < l2 . If Mt (l1 ) rises above
situation or the over popular use of a strategy itself. As a Mt (l2 ), the security is bought and held until Mt (l1 ) falls
result, practitioners and researchers are also trying to con- below Mt (l2 ). The signal St is given by
struct new technical trading strategies that can make profit 
in the current markets. These new strategies may be con-  1


if Mt (l1 ) > Mt (l2 )
structed by simple modification to classical strategies, by 
 and Mt−k (l1 ) < Mt−k (l2 )


combination of several existing strategies, or even created 
 and Mt−i (l1 ) = Mt−i (l2 ),


from scratch by genetic programming [20]. 
 ∀ i ∈ {1, · · · , k − 1}
This paper does not try to cover every single technical St = −1 if Mt (l1 ) < Mt (l2 ) (4)


trading strategy. Instead, only one type of classical strate- 
 and M t−n (l 1 ) > M t−n (l 2 )


gies based on moving average is described below in order 
 and Mt−i (l1 ) = Mt−i (l2 ),


to illustrate how technical trading strategies work. 
 ∀ i ∈ {1, · · · , n − 1}

A moving average (MA) is simply an average of current 0 otherwise
and past prices over a specified period of time. An MA of
length l at time t is calculated as A double MA strategy can also be filtered by adding the
percentage requirement for triggering actions.
l−1 It should be noted that the values of l, l1 , l2 and θ in the
1

Mt (l) = Pt−i (1) above equations are not fixed. They are usually selected by
l i=0 experience or experiments.
MA strategies give one ‘sell’ signal after one ‘buy’ signal
where Pt−i is the price at time t − i. Various trading strate- and vice versa. There are no consecutive ‘buy’ signals nor
gies can be formulated based on MA. A simple MA strat- consecutive ‘sell’ signals. However, other trading strate-
egy compares the current price Pt to its MA Mt . If Pt rises gies, such as the one discussed in [15], may give consecu-
above Mt , the security is bought and held until the price tive ‘buy’ or ‘sell’ signals.
falls below MA at which time the security is sold. Mathe- The signal St indicates only the time when an action (buy
matically, the signal St is calculated as or sell) should be taken. However, a trading strategy also
 has to specify the volume V (or quantity) to be traded when

 1 if Pt > Mt (l) and Pt−k < Mt−k (l) a signal is triggered. Again, there is no established rule to



 and Pt−i = Mt−i (l), determine V . One strategy may specify a fixed V , while


 ∀ i ∈ {1, · · · , k − 1} another strategy may increase/decrease V step by step. For
St = −1 if Pt < Mt (l) and Pt−n > Mt−n (l) (2) example, one trading strategy says ‘when adding to a trade,



 and Pt−i = Mt−i (l), add only 14 to 12 as much as currently held’. The actual



 ∀ i ∈ {1, · · · , n − 1} V depends on many factors, such as the selected trading

0 otherwise strategy, the available fund, and the available volume in the
market, etc.
where k and n are arbitrary positive integers, 1 means ‘buy’,
−1 means ‘sell’, and 0 means ‘hold’ or ‘no action’.
A filtered MA strategy is more conservative than a sim- 3 Backtesting and Optimization
ple MA in that it only takes action when Pt rises above (or
When a trading strategy is fixed, it is relatively easy to
3 www.tradetrek.com backtest it. By simply collecting the relevant historical data

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 and applying the trading strategy against the data, one can 4. Perform crossover and mutation.
easily learn the performance of the strategy under concern.
However, most of the time, trading strategies are not fixed. 5. Evaluate the performance of the new candidates.
Instead, they are parameterized, as illustrated in Section 2. 6. Stop if a termination criterion is met, otherwise go
In this case, the goal of backtesting becomes finding the pa- back to step 3.
rameters that optimize the performance of the given trading
strategy. Figure 1 shows the profit performance landscape For the purpose of avoiding the possibility of data-
of a simple trading strategy with two parameters X and Y. snooping, or for the purpose of testing the robustness of the
It is obvious that the performance function is not convex. optimized trading strategy, the total range of historical data
Furthermore, profit is only one measure of the performance should be split into an in-sample optimization period and
of a trading strategy. There are other measures such as the an out-of-sample test period. The in-sample data are used
risk. People usually want to maximize the profit while min- during the optimization process, and the out-of-sample data
imizing the risk at the same time. Therefore the parameter are then used to test if the optimized trading strategy works
optimization is actually multiobjective. well on unknown/future data.
In order to avoid the local optima, stochastic optimiza-
tion techniques are necessary for this task. There are a num- 4 Considerations in the Optimization of
ber of such optimization techniques, such as simulated an-
nealing (SA), tabu search (TS), genetic algorithm (GA), ant Technical Trading Strategies
colony optimization (ACO) and particle swarm optimiza-
tion (PSO), etc.[11] Each technique has its strength and This section tries to list the many issues to be tackled
weakness. In the case of multiobjective optimization, GA during the optimization of technical trading strategies with
is better than other candidates because of its natural paral- GA.
lelism and its maintenance of a population of solution can-
didates instead of a single one[1]. 4.1 Data Preparation

To backtest any trading strategy, one of the first tasks to

do is to collect the historical trading data. Different trading
strategies may require quite different data. Several factors
1500 have to be considered for the data preparation.

• Data period
1000

500
One aspect of data period is its length. A long-term
Z 0 trading strategy requires data of a long time period,
−500
such as a few years or even tens of years, while a few
15
10 weeks’ data are enough for an intraday trading strat-
−1000

35
30
25
20
egy. Another aspect of data period is its freshness.
−1500
1.0 1.1 1.2 1.3 1.4 1.5 1.6 1.7 1.8 1.9 2.0
50
45
40
X
A researcher may be only interested in a certain time
Y
range in the past, while a practitioner is definitely in-
terested in the most recent time range.

• Data details
Figure 1. Performance of a simple technical
Historical stock trading data can be roughly catego-
trading strategy with two parameters X and Y.
rized into two groups: daily data and intraday data.
Z is the profit.
Daily data usually include volume, open price, close
price, highest price and lowest price. Daily data may
GAs have been widely investigated and applied in many also include other aggregation data such as volume
areas since it was developed by John Holland in 1975 [10]. weighted average price (VWAP), etc. There may also
The GA procedure can be outlined as follows: be other information such as dividend. Intraday data
may include the following details: 1) the time, price
1. Create an initial population of candidates. and volume of every single trade; 2) the market depth
at any time during the day; 3) the details of every or-
2. Evaluate the performance of each candidate. der and its amendment, cancellation or execution, etc.
There may also be other information such as the iden-
3. Select the candidates for recombination. tity of the initiator of every order, etc.

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 A long-term trading strategy usually utilizes only daily
data. The details of the intraday data are irrelevant for
it. However, the trading strategies used by day traders
definitely need the intraday data. Price information is
always necessary for any trading strategy, while vol-
ume information may be negligible if the normal daily
transaction size is much greater than the planned in-
vestment.
• Availability and cost
Where and how can one get the historical trading data?
For the daily data, it is easy and free to get them in
most cases. For example, Yahoo!Finance4 offers daily
data for free, and they can be downloaded to spread-
sheet. As to the intraday data, there is hardly any free
lunch. Usually one has to subscribe to a commercial
data provider to get them, and the cost varies from one
provider to another. However, sometimes academia
can obtain intraday data for free provided that the data
are used for research only. For example, SIRCA5 pro-
vides free data to many universities across Australia
and New Zealand for research purpose. As a thumb or
rule, the longer the time range is, and the more detailed
the data are, the more difficult and costly it is to obtain
the data.
• Data cleaning
There may be various problems with the obtained data,
such as missing or duplicated records, invalid values
(e.g., a negative price or volume), etc. The data offered
by commercial data providers usually are of high qual-
ity and less troublesome, however, the quality of free
data from the Internet are seldom guaranteed. There-
fore the data should be checked and cleaned if neces-
sary before they can be used for backtesting.
• Data storage
The size of daily data is usually small and it is rela-
tively stable among different equities. One year’s daily
data take up about 10 kilobytes disk space. However,
the size of intraday data tends to be very large and
varies dramatically among different equities. For ex-
ample, three years’ intraday data (2001 – 2003, in CSV
format) take up 3 gigabytes disk space for Microsoft
(MSFT), 1 gigabytes for Yahoo (YHOO), while only
less than 400 kilobytes for Alto Palermo S.A. (APSA)
because it is rarely traded. For the heavily traded equi-
ties like MSFT, the intraday data size is so large that it
is a problem to store the data and also very inefficient
and time consuming to read all the records sequentially
and to make use of them.
4 finance.yahoo.com
5 Securities Industry Research Centre of Asia-Pacific
(www.sirca.org.au)
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To access the intraday data more efficiently, one so-
lution is to store them into a relational database, such
as the commercial Oracle database or the open source
PostgreSQL database, and take advantage of the power
of the database management system (DBMS). How-
ever, this method will worsen the storage problem be-
cause a DBMS usually creates a lot of metadata such
as indices to facilitate its fast operations. When stor-
age is a real problem, one has to turn to compression
techniques. The above-mentioned Microsoft data be-
come about 330 megabytes after being compressed by
gzip, i.e., the size is reduced to about only 11 per-
cent. However, the compression will degrade data ac-
cess performance because it is more costly to read a
compressed file than to read a plain text file. There-
fore, one has to compromise between storage and per-
formance. For example, SMARTS6 stores its data in
FAV format which splits the data into multiple files
where each file contains only one day’s data, and then
compresses these files separately. Thus, the storage re-
quirement is relatively low and the data access perfor-
mance is relatively high. All in all, one has to choose a
proper storage format according to the actual hardware
environment to balance the storage and performance.
4.2 Test Configurations
Once the historical trading data are ready, the next step
is to use them to backtest trading strategies as describe in
Section 3. However, as mentioned above, many variables
have to be configured in order to perform the backtesting.
These variables are discussed below.
• Search space
As with any optimization problem, the search space
has to be specified. In the case of trading strategy pa-
rameter optimization, this means to specify the range
and step of each parameter. Taking the filtered MA
strategy described by Equation 3 as an example, it has
two parameters: length l and percentage θ. Obviously,
l is a discrete variable and can only be a positive in-
teger, while θ is a continuous variable between 0 and
1. But this is too rough. The parameters have to be
specified more accurately, such as l is a positive inte-
ger between 5 and 50, and θ is between 0.05 and 0.25,
so that the search space is kept as small as possible.
However, how can we know the proper range for each
parameter? There are at least two possible solutions.
One is to ask domain experts to set the range accord-
ing to their experience. The other is to determine the
range by pilot tests.
6 Securities Markets Automated Research Trading and Surveillance
(www.smarts.com.au)
 • Fitness function
Fitness functions play an important role in GAs. With-
out a well-defined fitness function, it is impossible for
a GA to evaluate the candidate under consideration.
For the optimization of trading strategies, a straight-
forward fitness function is its performance. However,
as mentioned above, there are various measures of the
performance of a trading strategy, such as profit and
risk, and they are often contradictory to each other. It is
impossible to optimize every measure at the same time,
instead, some kind of compromise has to be made.
One choice is to construct a fitness function that com-
bines all the measures under concern. For example,
the Sharpe ratio combines both return and risk and
becomes a measure of risk-adjusted performance of a
trading strategy. It is defined as
< R − Rf >
S= (5)
σ
where R is the asset return, Rf is an expected return
of another “standard” asset, such as the risk free rate of
return, < R − Rf > is the expected value of the excess
of the asset return over the risk free return, and σ is
the standard deviation of the asset returns. The trading
strategy with the higher Sharpe ratio gives more return
for the same risk. When the Sharpe ratio is adopted as
the fitness function, GA will be directed to candidates
with both higher returns and lower risks (in a relative
sense).
Another choice is to use multi-objective optimization
techniques and to search for the Pareto optimal instead
of a conventional optimal. [1] provides good discus-
sions in this area.
Different people have different preferences regarding
the many performance measures. For instance, young
people tend to try riskier strategies in order to achieve
higher returns, while the aged may prefer to less risky
strategies with lower returns. Therefore, different fit-
ness functions should be chosen to satisfy different
preferences.
• GA parameters
Every GA has some inherent parameters for its opera-
tion. Some most commonly used parameters are listed
below.
p population size
c crossover probability
m mutation probability
G1max maximum number of generations allowed
G2max maximum number of iterations without improve-
ment
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These parameters can affect both the efficiency and ef-
fectiveness of the GA search. Again, experience and
pilot tests are the two major weapons to configure them
properly.
• In-sample/out-of-sample lengths
The lengths of the in-sample and out-of-sample peri-
ods are also critical for the performance of a trading
strategy. These lengths mainly depend on the spe-
cific trading strategy to be backtested. If a strategy
is designed to work over a long period, the lengths of
in-sample and out-of-sample periods have to be long
enough for the strategy to take effect. For example,
[16] took eight years (from 1982 to 1989) as in-sample
period and another eight years (from 1990 to 1997) as
out-of-sample period. However, if a strategy is meant
to work within a short time, the lengths of in-sample
and out-of-sample periods can also be modestly short,
such as the one month of both in-sample and out-of-
sample periods used in [14]. Besides, the in-sample
and out-of-sample periods do not have to be of equal
lengths. For instance, [2] used an in-sample period
from 1929 to 1935 and an out-of-sample from 1936
to 1995 in one test.
In-sample and out-of-sample periods are not static. In
fact, the same period can serve as both in-sample and
out-of-sample period at different stages in an experi-
ment. For example, when there are one year’s data,
and a trading strategy requires one month for both in-
sample and out-of-sample periods, the backtesting can
be carried out in this way. First, the first month is used
as the in-sample period and the second month as the
out-of-sample period. Next, the second month serves
as the in-sample period and the third month as the out-
of-sample period. And so on and so forth.
Because the in-sample and out-of-sample lengths rely
on the trading strategy, they are usually set according
to domain experts’ experience. Pilot tests may also
help in determining their values.
4.3 Implementation and Execution
Now the data are ready and all the configurations are
properly set, it is time to implement the GA and let it run,
and the time problem emerges. Depending on the complex-
ity of a trading strategy, it might require a considerable time
to evaluate a single candidate. And remember, a GA has to
evaluate hundreds or thousands of candidates before it finds
the optimal. As a result, the time requirement may make the
backtesting infeasible. Therefore the implementation has to
be efficient. [15] has illustrated this problem in detail and
proposed to use Parallel GA and to re-use intermediate re-
sults as much as possible in order to reduce computation
time.
 5 Preliminary Experimental Results ANZ.AX
30

Some preliminary experiments have been carried out in

light of the above discussions. In this section we will de- 25

scribe our experiment settings and present some rudimen-

tary results based on the experiments. 20

5.1 Experimental Settings

15

Data
10

We carry out our experiments over the historical daily data

of 3 securities traded on the Australian stock exchange,
namely, ANZ, BIL and ERA. The data are downloaded from 5
0 500 1000 1500 2000 2500 3000

Commonwealth Securities Ltd.7 for free as CSV files and

contain open price, close price, highest price, lowest price
and volume. The time range is from June 1996 to August Figure 2. Price curve of ANZ
2006 and comprises about 2500 trading days. The close
price history of these 3 securities are shown in Fig. 2, 3 and BIL.AX
14
4, respectively. These 3 securities are selected because their
price curves can represent the curves of most of the securi-
12
ties in the ASX50 index.
10

Trading strategies
We have implemented the following 5 trading strategies for 8

our experiments:
6

BB Bollinger band with stop loss

4
CBO Filtered channel break out

KD Slow stochastic oscillator cross/rising and stop loss 2

0 500 1000 1500 2000 2500 3000

MA Filtered double moving average

Figure 3. Price curve of BIL
RSI Relative strength indicator with retrace and stop loss

The details of these trading strategies are not closely rel- 18

ERA.AX

evant to this paper and are not discussed here. Interested

16
readers can refer to [3, 18] for further information. The typ-
ical settings of various trading strategies are also obtained 14

from [3]. These trading strategies are applied in a series 12

of tests described below and are compared with the simple
buy-and-hold strategy. 10

GA settings 6

The parameters of all the trading strategies are encoded as 4

real numbers. As a rule of thumb, integers are used for num- 2

ber of periods, e.g., l, and floating point numbers are used
for percentage values, such as θ). The best candidate of each 0
0 500 1000 1500 2000 2500

generation is always kept in the next generation. Roulette

selection based on fitness values is used. The crossover and
7 www.comsec.com.au
Figure 4. Price curve of ERA

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 mutation operations are similar to those described by [9] on Table 2 and 4 show that for securities whose prices rise
pages 59–60. stably, BH works better than all the trading strategies under
After some pilot tests, we set the GA parameters as fol- consideration. Although Test 2 shows that KD, MA and
lows: p = 18, c = 0.9, m = 0.05, G1max = 100 and RSI theoretically might beat BH, Test 3 and 4 show that
G2max = 5. Besides, we use the restart technique of micro practically they can never achieve it.
GA [7] to make sure that the best result found by our GA is For securities whose prices are more volatile, Table 3
close enough to the real optimum. The restart number is set shows that some trading strategies may achieve better re-
to 5 according to pilot tests. sults than BH. However, it is still not guaranteed. More
In this experiment, we only use the profit as the fitness work has to be done to reach some reliable conclusion.
function.
Table 1. Profits of buy-and-hold strategy
Tests ANZ BIL ERA
23352.9 10196.4 64179.7
Four tests have been designed to evaluate the effectiveness
of GA. The data are divided into in-sample and out-of-
sample data. The in-sample data comprises year 1997 and
1998, while the out-of-sample data comprises of year 1999
to 2005. To compare the various trading strategies, we con- Table 2. Test results for ANZ
cern only the profit over the out-of-sample period. Test 1 Test 2 Test 3 Test 4
Test 1 applies the 5 trading strategies with typical set- BB 12499.1 22260.3 11055.0 11355.7
tings over the out-of-sample data. It shows the performance CBO 8680.6 23284.0 10084.6 14466.7
of the trading strategies with a typical fixed setting. These KD 9399.5 23616.8 12959.3 13942.0
settings are usually given by professionals or set default by MA 10919.1 27206.7 20662.8 14882.9
some trading tools. RSI 10501.4 29020.1 6617.2 17145.6
Test 2 applies GA over the out-of-sample data to see
the maximal profits that various trading strategies might
achieve. These are only theoretical values since the opti-
mal settings can only be found when the historical data are Table 3. Test results for BIL
available and no one can really trade with these optimal set- Test 1 Test 2 Test 3 Test 4
tings. BB 5370.4 26754.7 11790.7 13199.1
Test 3 applies GA over the in-sample data to find the best CBO 4021.8 25273.3 18193.5 11010.0
parameters for the in-sample period and then apply these KD 22960.7 48164.3 8782.5 15755.4
parameters to the out-of-sample data. MA 5416.0 23332.0 9001.0 6202.4
Test 4 is a modified version of Test 3. Here, the in- RSI 10638.2 31330.6 18655.3 6014.9
sample data and out-of-sample data are no longer fixed as
before. Instead, we repeatedly use 2 years’ data as in-
sample data and the following year’s data as out-of-sample
data.
Table 4. Test results for ERA
Test 1 Test 2 Test 3 Test 4
5.2 Results and Discussions
BB 21039.6 63006.9 40942.2 8478.3
CBO 19011.1 61864.3 21997.3 25977.8
All the 4 tests are carried out against the 3 securities with KD 11355.1 73456.8 4923.0 12211.6
an initial capital of 10000 dollars. A transaction cost of
MA 9633.8 81626.7 9808.0 11706.5
0.2% of the traded value is charged for each trade (buy or
RSI 16438.1 95818.7 19540.0 17927.1
sale). Table 1 lists the final capital if the simple buy-and-
hold strategy (BH) is applied to each security over the out-
of-sample period. Table 2, 3 and 4 shows the results of the
4 tests over ANZ, BIL and ERA, respectively.
A quick conclusion is that BB and CBO are useless for 6 Conclusions and Future Work
ANZ and ERA since Test 2 shows that they have no chance
to beat the simple buy-and-hold strategy at all. Given that In this paper we have explained the problem of parame-
GA executes pretty fast, it can help rule out these fruitless ter optimization of technical trading strategies with genetic
trading strategies quickly. algorithms and discussed the many considerations during

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on Integrating AI and Data Mining (AIDM'06)
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 the optimization from data preparation to algorithm imple-
mentation.
With the guideline provided in this paper, preliminary
experimental results show that GA can help with fast iden-
tification of some limitations of technical trading strategies,
but it is still hard to give any positive conclusions about the
profitability of trading strategies. Further work will try to
find out if there are any situations where technical trading
strategies have a large probability to work well.
Acknowledgement
This work was supported in part by the Australian
Research Council (ARC) Discovery Projects (DP0449535
and DP0667060), National Science Foundation of China
(NSFC) (60496327) and Overseas Outstanding Talent
Research Program of Chinese Academy of Sciences
(06S3011S01).
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