Objective function design in a grammatical evolutionary trading system

Designing a suitable objective function is an essential step in successfully applying an evolutionary algorithm to a problem. In this study we apply a grammar-based Genetic Programming algorithm called Grammatical Evolution to the problem of trading model induction. A number of experiments were performed to assess the effect of objective function design on the trading characteristics of the evolved trading strategies. Empirical results suggest that the choice of objective function has a significant impact. The paper concludes with in and out-of-sample results, and indicates a number of avenues of future work.