[R-SIG-Finance] Using Grammatical Evolution to generate trading rules

[Immanuel]

Hallo all,

I recently read the book "biologically inspired algorithms for financial
modeling" and got hooked
by the idea to use Grammatical Evolution to generate trading rules (
examples are presented in the book ).

I decided to use GEVA (http://ncra.ucd.ie/Site/GEVA.html) as grammatical
evolution engine, and to evaluate the
generated trading rules in R. I somehow managed to hack together a proof
of concept. A quick and dirty overview
can be fount at: http://www.slideshare.net/my_slides_/overview-10277187

I'm now playing with the idea to put some more effort in a better setup.
With the goal to make the generation and testing
of serious trading rules feasible.

Any suggestions on how to approach this? Anyone interested in
collaborating on this project?

best regards,
Immanuel