The main idea in this presentation is that of co-evolving 2-branch type trees, where one branch represents buy rules and the other represents sell rules for trading. The intuition is that when the branches are evolved together, your final genetic program ends up with buy and sell rules that are duals of each other. Hence an optimum buy rule can be paired with an optimum sell rule - which forms a dual. This is unlike the approach where a sell rule is triggered only if certain criteria for a buy are not met (which may not necessarily be optimum condition for the sell). Although the results in the presentation are somewhat ambiguous, the author points out that it is possible to discover profitable trading rules in the presence of transaction costs under a statistical arbitrage framework. The author also cites a few papers which have applied GP techniques to Statistical Arbitrage. I shall dig up these papers to investigate the approach taken.

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