Although time series are frequently nonlinear in reality, people tend to use linear models to fit them under some assumptions unnecessarily in accordance with the truth, which unsurprisingly leads to unsatisfactory performance. This paper proposes a forecast method: Genetic programming based on least square method (GP-LSM). Inheriting the advantages of genetic algorithm (GA), without relying on the particular distribution of the data, this method can improve the prediction accuracy because of its ability of fitting nonlinear models, and raise the convergence speed benefitting from the least square method (LSM). In order to verify the validity of this method, the authors compare this method with seasonal auto regression integrated moving average (SARIMA and back propagation artificial neural networks (BP-ANN). The results of empirical analysis show that forecast accuracy and direction prediction accuracy of GP-LSM are obviously better than those of the others.