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Associating functional information with biological sequences remains a challenge for machine learning methods. The performance of these methods often depends on deriving predictive features from the sequences sought to be classified. Feature generation is a difficult problem, as the connection between the sequence features and the sought property is not known a priori. It is often the task of domain experts or exhaustive feature enumeration techniques to generate a few features whose predictive power is then tested in the context of classification. This paper proposes an evolutionary algorithm to effectively explore a large feature space and generate predictive features from sequence data. The effectiveness of the algorithm is demonstrated on an important component of the gene-finding problem, DNA splice site prediction. This application is chosen due to the complexity of the features needed to obtain high classification accuracy and precision. Our results test the effectiveness of the obtained features in the context of classification by Support Vector Machines and show significant improvement in accuracy and precision over state-of-the-art approaches.