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I after talking to a research fellow, researched about trading rules from automated search.

I found in the book Finding Alphas by Tulchinsky a general chapter, which shows the idea in theory.

From an academic standpoint I only found general approaches in trading rule optimization f.ex.: Optimization of the Trading Rule in Foreign Exchange using Genetic Algorithm

Hence, I would like to ask you if you could share your experience regarding automated search methods for trading rules. Which methodologies are working the best? Any examples?

Furthermore, I highly appreciate every resource or paper on this topic!

I appreciate your replies!

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    $\begingroup$ The big challenge with these search methods is to find something that will continue to work out of sample and is not just overfit to the specific training set. Unfortunately most published research does not address this issue properly. $\endgroup$ – Alex C Sep 14 '16 at 23:56
  • $\begingroup$ @AlexC I would appreciate if you could point out some specific papers regarding this topic? $\endgroup$ – Kare Sep 15 '16 at 6:08

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