Dresden 2014 – wissenschaftliches Programm

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SOE: Fachverband Physik sozio-ökonomischer Systeme

SOE 6: Poster Session

SOE 6.6: Poster

Montag, 31. März 2014, 18:00–20:00, P2

Optimizing the combination of technical indicators for generating optimized stock portfolios — •Thorsten Rehberg and Ingo Morgenstern — Universität Regensburg

We are using Threshold-Accepting for optimizing portfolios with many different indicators from the technical analysis. Therefore we create a cost-function containing 120 technical analysis indicators with different weights. To find the optimal values of these weights, we use a self-learning algorithm, which adjusts these values in such a manner that the resulting portfolios have a huge average return and also a limited risk. Applying these technique to create portfolios with stocks from the DAX, MDAX and S&P500 results in a significant better average performance.