Simultaneous multi-objective optimization method for trading indicators
This paper proposes a novel framework for optimizing trading indicators using a multi-objective Particle Swarm Optimization approach. By simultaneously optimizing multiple technical indicators, the method overcomes the limitations of single-objective optimization and complex strategies, resulting in...
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| Format: | Article |
| Language: | English |
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Elsevier
2024-12-01
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| Series: | Results in Control and Optimization |
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| Online Access: | http://www.sciencedirect.com/science/article/pii/S2666720724001310 |
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| _version_ | 1850115299977723904 |
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| author | Nhat M. Nguyen Minh Tran |
| author_facet | Nhat M. Nguyen Minh Tran |
| author_sort | Nhat M. Nguyen |
| collection | DOAJ |
| description | This paper proposes a novel framework for optimizing trading indicators using a multi-objective Particle Swarm Optimization approach. By simultaneously optimizing multiple technical indicators, the method overcomes the limitations of single-objective optimization and complex strategies, resulting in a more robust trading approach. Experiments on VN30-Index daily data demonstrate that the optimized strategy outperforms benchmark and buy-and-hold strategies in terms of returns and Sharpe ratios. Our findings prove that the multi-objective Particle Swarm Optimization method efficiently balances the complexity to combine various technical indicators in a way that keeps the logic of the strategy simple. The technique not only reduces the risks of relying on one indicator but also reduces behavioral influences in the stock selection process. Furthermore, our study adds to the literature a simple and effective method that helps traders identify profitable investment opportunities in different market scenarios. |
| format | Article |
| id | doaj-art-e10715ff37e743d7b4055521fa0eaa5f |
| institution | OA Journals |
| issn | 2666-7207 |
| language | English |
| publishDate | 2024-12-01 |
| publisher | Elsevier |
| record_format | Article |
| series | Results in Control and Optimization |
| spelling | doaj-art-e10715ff37e743d7b4055521fa0eaa5f2025-08-20T02:36:35ZengElsevierResults in Control and Optimization2666-72072024-12-011710050110.1016/j.rico.2024.100501Simultaneous multi-objective optimization method for trading indicatorsNhat M. Nguyen0Minh Tran1Ho Chi Minh University of Banking, 36 Ton That Dam street, Nguyen Thai Binh ward, district 1, Ho Chi Minh, 700000, Viet NamCorresponding author.; Ho Chi Minh University of Banking, 36 Ton That Dam street, Nguyen Thai Binh ward, district 1, Ho Chi Minh, 700000, Viet NamThis paper proposes a novel framework for optimizing trading indicators using a multi-objective Particle Swarm Optimization approach. By simultaneously optimizing multiple technical indicators, the method overcomes the limitations of single-objective optimization and complex strategies, resulting in a more robust trading approach. Experiments on VN30-Index daily data demonstrate that the optimized strategy outperforms benchmark and buy-and-hold strategies in terms of returns and Sharpe ratios. Our findings prove that the multi-objective Particle Swarm Optimization method efficiently balances the complexity to combine various technical indicators in a way that keeps the logic of the strategy simple. The technique not only reduces the risks of relying on one indicator but also reduces behavioral influences in the stock selection process. Furthermore, our study adds to the literature a simple and effective method that helps traders identify profitable investment opportunities in different market scenarios.http://www.sciencedirect.com/science/article/pii/S2666720724001310Multi-objective functionParticle swarm optimizationBollinger BandsMoving average convergence divergenceTrading strategy optimization |
| spellingShingle | Nhat M. Nguyen Minh Tran Simultaneous multi-objective optimization method for trading indicators Results in Control and Optimization Multi-objective function Particle swarm optimization Bollinger Bands Moving average convergence divergence Trading strategy optimization |
| title | Simultaneous multi-objective optimization method for trading indicators |
| title_full | Simultaneous multi-objective optimization method for trading indicators |
| title_fullStr | Simultaneous multi-objective optimization method for trading indicators |
| title_full_unstemmed | Simultaneous multi-objective optimization method for trading indicators |
| title_short | Simultaneous multi-objective optimization method for trading indicators |
| title_sort | simultaneous multi objective optimization method for trading indicators |
| topic | Multi-objective function Particle swarm optimization Bollinger Bands Moving average convergence divergence Trading strategy optimization |
| url | http://www.sciencedirect.com/science/article/pii/S2666720724001310 |
| work_keys_str_mv | AT nhatmnguyen simultaneousmultiobjectiveoptimizationmethodfortradingindicators AT minhtran simultaneousmultiobjectiveoptimizationmethodfortradingindicators |