@@ -42,17 +42,8 @@ The 60% of the available data was used to run the genetic algorithm to select th
The return of the algorithm in the training data (from 2007/03/02 to 2012/08/24) was 22%. In the same period, the return of the S&P 500 was -1%.
When running the trading strategy with out-of-sample data, the return of the strategy was 64%, while the S&P 500 only returned 47% in the same period. The following plot shows the evolution of earnings of the strategy:
When running the trading strategy with out-of-sample data, the return of the strategy was 64%, while the S&P 500 only returned 47% in the same period. The following plot shows the evolution of the earnings of the strategy, when started with an initial capital of 1000$: