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Optimization of technical rules by genetic algorithms: evidence from the Madrid stock market

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Author Info
Fernando Fernández-Rodríguez
Christian González-Martel
Simón Sosvilla-Rivero

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Abstract

This paper investigates the profitability of a simple and very common technical trading rule applied to the General Index of the Madrid Stock Market. The optimal trading rule parameter values are found using a genetic algorithm. The results suggest that, for reasonable trading costs, the technical trading rule is always superior to a risk-adjusted buy-and-hold strategy.

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Publisher Info
Article provided by Taylor and Francis Journals in its journal Applied Financial Economics.

Volume (Year): 15 (2005)
Issue (Month): 11 (July)
Pages: 773-775
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Handle: RePEc:taf:apfiec:v:15:y:2005:i:11:p:773-775

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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Simón Sosvilla-Rivero, . "La política macroeconómica en economías interdependientes," Working Papers 2001-03, FEDEA. [Downloadable!]
  2. Namkee Ahn & Josée Alberto Molina, . "Smoking in Spain: Analysis of Initiation and Cessation," Working Papers 2001-02, FEDEA. [Downloadable!]
  3. Omar LICANDRO & Javier RUIZ-CASTILLO & Jorge DURAN, 2001. "The Measurement of Growth under Embodied Technical Change," Economics Working Papers ECO2001/14, European University Institute. [Downloadable!]
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  4. Allen, Franklin & Karjalainen, Risto, 1999. "Using genetic algorithms to find technical trading rules1," Journal of Financial Economics, Elsevier, vol. 51(2), pages 245-271, February. [Downloadable!] (restricted)
  5. J. R. Ruiz-Tamarit & M. Ventura-Marco, . "The Reduction of Dimension in the Study of Economic Growth Models," Working Papers 2001-13, FEDEA. [Downloadable!]
  6. Raouf Boucekkine & Fernando del Río & Omar Licandro, . "Obsolescence Vs modernization in a Schumpeterian vintage capital model," Working Papers 2000-27, FEDEA. [Downloadable!]
  7. Juan J Dolado & Carlos Garcia--Serrano & Juan F. Jimeno, 2002. "Drawing Lessons From The Boom Of Temporary Jobs In Spain," Economic Journal, Royal Economic Society, vol. 112(721), pages F270-F295, June. [Downloadable!] (restricted)
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  8. Bessembinder, Hendrik & Chan, Kalok, 1995. "The profitability of technical trading rules in the Asian stock markets," Pacific-Basin Finance Journal, Elsevier, vol. 3(2-3), pages 257-284, July. [Downloadable!] (restricted)
  9. Salvador Barrios & Holger Görg & Eric Strobl, . "Explaining Firms' Export Behaviour: The Role of R&D and Spillovers," Working Papers 2001-12, FEDEA. [Downloadable!]
  10. Salvador Barrios & Holger Görg & Eric Strobl, . "Multinational Enterprises and New Trade Theory: Evidence for the Convergence Hypothesis," Working Papers 2000-28, FEDEA. [Downloadable!]
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  11. Francisco Ledesma-Rodríguez & Manuel Navarro-Ibáñez & Jorge Pérez-Rodríguez & Simón Sosvilla-Rivero, . "Assessing the credibility of a target zone: Evidence from the EMS," Working Papers 2001-04, FEDEA. [Downloadable!]
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  12. Gemma Abío & Eduard Berenguer & Holger Bonin & Joan Gil & Concepció Patxot, . "Is the Deficit under Control? A Generational Accounting Perspective on Fiscal Policy and Labour Market Trends in Spain," Working Papers 2001-06, FEDEA. [Downloadable!]
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  13. Namkee Ahn & Pedro Mira, . "Labor Force Participation and Retirement of Spanish Older Men: Trends and Prospects," Working Papers 2000-25, FEDEA. [Downloadable!]
  14. Fernando Fernández-Rodríguez & Simón Sosvilla-Rivero & Julián Andrada-Félix, . "Technical analysis in the Madrid stock exchange," Working Papers 99-05, FEDEA. [Downloadable!]
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Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Stephan Schulmeister, 2007. "The Interaction Between the Aggregate Behaviour of Technical Trading Systems and Stock Price Dynamics," WIFO Working Papers 290, WIFO. [Downloadable!]
  2. Marcos Alvarez Díaz & Lucy Amigo Dobaño & Francisco Rodríguez de Prado, . "Taxing on Housing: A Welfare Evaluation of the Spanish Personal Income Tax," Studies on the Spanish Economy 142, FEDEA. [Downloadable!]
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