Methods Matter: A Trading Agent with No Intelligence Routinely Outperforms AI-Based Traders

Dave T Cliff, Michael Rollins

Research output: Chapter in Book/Report/Conference proceedingConference Contribution (Conference Proceeding)


There is a long tradition of research using computational intelligence, i.e. methods from artificial intelligence (AI) and machine learning (ML), to automatically discover, implement, and fine-tune strategies for autonomous adaptive automated trading in financial markets, with a sequence of research papers on this topic published at major AI conferences such as IJCAI and in prestigious journals such as Artificial Intelligence: we show evidence here that this strand of research has taken a number of methodological mis-steps and that actually some of the reportedly best-performing public-domain AI/ML trading strategies can routinely be out-performed by extremely simple trading strategies that involve no AI or ML at all. The results that we highlight here could easily have been revealed at the time that the relevant key papers were published, more than a decade ago, but the accepted methodology at the time of those publications involved a somewhat minimal approach to experimental evaluation of trader-agents, making claims on the basis of a few thousand test-sessions of the trader-agent in a small number of market scenarios. In this paper we present results from exhaustive testing over wide ranges of parameter values, using parallel cloud-computing facilities, where we conduct millions of tests and thereby create much richer data from which firmer conclusions can be drawn. We show that the best public-domain AI/ML traders in the published literature can be routinely outperformed by a "sub-zero-intelligence" trading strategy that at face value appears to be so simple as to be financially ruinous, but which interacts with the market in such a way that in practice it is more profitable than the well-known AI/ML strategies from the research literature. That such a simple strategy can outperform established AI/ML-based strategies is a sign that perhaps the AI/ML trading strategies were good answers to the wrong question.
Original languageEnglish
Title of host publicationProceedings of the IEEE Symposium Series on Computational Intelligence (SSCI2020)
Subtitle of host publicationComputational Intelligence in Financial Engineering (CIFEr)
Publication statusPublished - 2 Dec 2020


  • Financial Markets
  • Automated Trading
  • Experiment Design
  • Simulation Methods


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