@article{ART002899772},
author={Phil-Sik Jang},
title={Performance Analysis of Trading Strategy using Gradient Boosting Machine Learning and Genetic Algorithm},
journal={Journal of The Korea Society of Computer and Information},
issn={1598-849X},
year={2022},
volume={27},
number={11},
pages={147-155},
doi={10.9708/jksci.2022.27.11.147}

TY - JOUR
AU - Phil-Sik Jang
TI - Performance Analysis of Trading Strategy using Gradient Boosting Machine Learning and Genetic Algorithm
JO - Journal of The Korea Society of Computer and Information
PY - 2022
VL - 27
IS - 11
PB - The Korean Society Of Computer And Information
SP - 147
EP - 155
SN - 1598-849X
AB - In this study, we developed a system to dynamically balance a daily stock portfolio and performed trading simulations using gradient boosting and genetic algorithms. We collected various stock market data from stocks listed on the KOSPI and KOSDAQ markets, including investor-specific transaction data. Subsequently, we indexed the data as a preprocessing step, and used feature engineering to modify and generate variables for training. First, we experimentally compared the performance of three popular gradient boosting algorithms in terms of accuracy, precision, recall, and F1-score, including XGBoost, LightGBM, and CatBoost. Based on the results, in a second experiment, we used a LightGBM model trained on the collected data along with genetic algorithms to predict and select stocks with a high daily probability of profit. We also conducted simulations of trading during the period of the testing data to analyze the performance of the proposed approach compared with the KOSPI and KOSDAQ indices in terms of the CAGR (Compound Annual Growth Rate), MDD (Maximum Draw Down), Sharpe ratio, and volatility. The results showed that the proposed strategies outperformed those employed by the Korean stock market in terms of all performance metrics. Moreover, our proposed LightGBM model with a genetic algorithm exhibited competitive performance in predicting stock price movements.
KW - Algorithmic trading;Stock market;Gradient boosting;Machine learning;Genetic algorithm
DO - 10.9708/jksci.2022.27.11.147
ER -

Phil-Sik Jang. (2022). Performance Analysis of Trading Strategy using Gradient Boosting Machine Learning and Genetic Algorithm. Journal of The Korea Society of Computer and Information, 27(11), 147-155.

Phil-Sik Jang. 2022, "Performance Analysis of Trading Strategy using Gradient Boosting Machine Learning and Genetic Algorithm", Journal of The Korea Society of Computer and Information, vol.27, no.11 pp.147-155. Available from: doi:10.9708/jksci.2022.27.11.147

Phil-Sik Jang "Performance Analysis of Trading Strategy using Gradient Boosting Machine Learning and Genetic Algorithm" Journal of The Korea Society of Computer and Information 27.11 pp.147-155 (2022) : 147.

Phil-Sik Jang. Performance Analysis of Trading Strategy using Gradient Boosting Machine Learning and Genetic Algorithm. 2022; 27(11), 147-155. Available from: doi:10.9708/jksci.2022.27.11.147

Phil-Sik Jang. "Performance Analysis of Trading Strategy using Gradient Boosting Machine Learning and Genetic Algorithm" Journal of The Korea Society of Computer and Information 27, no.11 (2022) : 147-155.doi: 10.9708/jksci.2022.27.11.147

Phil-Sik Jang. Performance Analysis of Trading Strategy using Gradient Boosting Machine Learning and Genetic Algorithm. Journal of The Korea Society of Computer and Information, 27(11), 147-155. doi: 10.9708/jksci.2022.27.11.147

Phil-Sik Jang. Performance Analysis of Trading Strategy using Gradient Boosting Machine Learning and Genetic Algorithm. Journal of The Korea Society of Computer and Information. 2022; 27(11) 147-155. doi: 10.9708/jksci.2022.27.11.147

Phil-Sik Jang. Performance Analysis of Trading Strategy using Gradient Boosting Machine Learning and Genetic Algorithm. 2022; 27(11), 147-155. Available from: doi:10.9708/jksci.2022.27.11.147

Phil-Sik Jang. "Performance Analysis of Trading Strategy using Gradient Boosting Machine Learning and Genetic Algorithm" Journal of The Korea Society of Computer and Information 27, no.11 (2022) : 147-155.doi: 10.9708/jksci.2022.27.11.147