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Published in:
2013 | OriginalPaper | Chapter
Identifying Market Price Levels Using Differential Evolution
Author : Michael Mayo
Published in: Applications of Evolutionary Computation
Publisher: Springer Berlin Heidelberg
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Evolutionary data mining is used in this paper to investigate the concept of support and resistance levels in financial markets. Specifically, Differential Evolution is used to learn support/resistance levels from price data. The presence of these levels is then tested in out-of-sample data. Our results from a set of experiments covering five years worth of daily data across nine different US markets show that there is statistical evidence for price levels in certain markets, and that Differential Evolution can uncover them.