The trading on the mutual funds by gene expression programming with Sortino ratio ?
One method for guiding the investment in mutual funds is proposed. The buying timing and selling timing are decided by the trading functions generated by GEP. The funds in the portfolio are selected by the ranking of Sortino ratios. EQ and MV models are for capital allocation, and the annual profit higher than 12% in both models. SPA test for ensuring our method can earn positive returns without data snooping.
mutual fund gene expression programming sortino ratio mean variance model superior predictive ability test