Analysis of the impact of parameter tuning in stock trading strategies

• Renato Rodrigues Chaves Pereira Ferri CEFET-MG
• Lucas Santos Rodrigues CEFET-MG
• Daniel Hasan Dalip CEFET-MG
• André Rodrigues da Cruz CEFET-MG

DOI: https://doi.org/10.5753/bwaif.2023.230159

Abstract

Trading heuristics are very useful techniques for maximizing profits in the stock market. For better performance, it is necessary to specialize the parameter values of such models. This paper aims to discuss the impact of applying tuners on the parameter adjustment of asset buying and selling heuristics. For this, in a case study, four trading techniques were experimented with and compared regarding their respective returns, when comparing the adoption of a manual configuration with two meta-optimizers, a Genetic Algorithm and I-Race. By selecting financial return as the quality criterion, parameter tuning was done using asset price data from Ibovespa from 2012 to 2014. The validation of the return of each stock buying and selling model was calculated between 2015 and 2021. The results indicate that tuners are statistically capable of improving performance compared to manual configuration.

Keywords: Financial Market, Parameter Tuning, Genetic Algorithm, I-Race

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