Using genetic algorithms to search for an optimal investment strategy

In this experiment we used genetic algorithms to search for an investment strategy by dividing capital among different stocks with varying returns. The algorithm involves having a ``manager'' who divides his capital among various ``experts'' each of whom has a simple investment strategy. The expert strategies act like genes, experiencing mutation and crossover, in a selection process using previous returns as the fitness function. When algorithm was run with test data where the optimal strategy favored non-uniform investment in one stock it consistently beat a simple buy hold. However when the algorithm was run on actual stock data the system overwhelmingly stabilized at a population that closely resembled a simple buy hold portfolio, that is, evenly distribute the capital among all stocks.