@article{ART003228288},
author={Dongwon Lee},
title={Machine-Learning-based Optimization of ETF Split Trading Strategies with Technical Indicators},
journal={Journal of The Korea Society of Computer and Information},
issn={1598-849X},
year={2025},
volume={30},
number={7},
pages={53-63}
TY - JOUR
AU - Dongwon Lee
TI - Machine-Learning-based Optimization of ETF Split Trading Strategies with Technical Indicators
JO - Journal of The Korea Society of Computer and Information
PY - 2025
VL - 30
IS - 7
PB - The Korean Society Of Computer And Information
SP - 53
EP - 63
SN - 1598-849X
AB - This study aims to develop a machine-learning-based asset allocation strategy that dynamically adjusts investment weights using technical indicators. By employing a parametric structure grounded in Bollinger Bands and the Commodity Channel Index (CCI), the strategy offers flexible responses to market changes. Several optimization algorithms, including Differential Evolution (DE), Powell, L-BFGS-B, TNC, COBYLA, and TRUST-CONSTR, were applied to tune the strategy parameters using historical ETF data. Each optimizer was evaluated through repeated simulations, and the models were assessed based on annual realized profits, return stability, and overfitting metrics. Among them, DE consistently delivered superior performance, demonstrating strong generalization and low levels of overfitting. These outcomes are attributed to DE’s ability to escape local optima and effectively explore the search space.
These results indicate that combining global optimization with technical indicators enables robust, data-driven investment strategies that are adaptable to dynamic financial environments.
KW - Technical Indicators;ETF Split Trading Strategy;Machine Learning Optimization;Overfitting Evaluation;Differential Evolution;Optimization Algorithm Comparison
DO -
UR -
ER -
Dongwon Lee. (2025). Machine-Learning-based Optimization of ETF Split Trading Strategies with Technical Indicators. Journal of The Korea Society of Computer and Information, 30(7), 53-63.
Dongwon Lee. 2025, "Machine-Learning-based Optimization of ETF Split Trading Strategies with Technical Indicators", Journal of The Korea Society of Computer and Information, vol.30, no.7 pp.53-63.
Dongwon Lee "Machine-Learning-based Optimization of ETF Split Trading Strategies with Technical Indicators" Journal of The Korea Society of Computer and Information 30.7 pp.53-63 (2025) : 53.
Dongwon Lee. Machine-Learning-based Optimization of ETF Split Trading Strategies with Technical Indicators. 2025; 30(7), 53-63.
Dongwon Lee. "Machine-Learning-based Optimization of ETF Split Trading Strategies with Technical Indicators" Journal of The Korea Society of Computer and Information 30, no.7 (2025) : 53-63.
Dongwon Lee. Machine-Learning-based Optimization of ETF Split Trading Strategies with Technical Indicators. Journal of The Korea Society of Computer and Information, 30(7), 53-63.
Dongwon Lee. Machine-Learning-based Optimization of ETF Split Trading Strategies with Technical Indicators. Journal of The Korea Society of Computer and Information. 2025; 30(7) 53-63.
Dongwon Lee. Machine-Learning-based Optimization of ETF Split Trading Strategies with Technical Indicators. 2025; 30(7), 53-63.
Dongwon Lee. "Machine-Learning-based Optimization of ETF Split Trading Strategies with Technical Indicators" Journal of The Korea Society of Computer and Information 30, no.7 (2025) : 53-63.
