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

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  • Fernando Fernandez-Rodriguez
  • Christian Gonzalez-Martel
  • Simon Sosvilla-Rivero

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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File URL: http://www.tandfonline.com/doi/abs/10.1080/09603100500107818
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Bibliographic Info

Article provided by Taylor & Francis Journals in its journal Applied Financial Economics.

Volume (Year): 15 (2005)
Issue (Month): 11 ()
Pages: 773-775

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Handle: RePEc:taf:apfiec:v:15:y:2005:i:11:p:773-775

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  1. 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.
  2. Allen, Franklin & Karjalainen, Risto, 1999. "Using genetic algorithms to find technical trading rules," Journal of Financial Economics, Elsevier, vol. 51(2), pages 245-271, February.
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Cited by:
  1. Stephan Schulmeister, 2007. "The Interaction Between the Aggregate Behaviour of Technical Trading Systems and Stock Price Dynamics," WIFO Working Papers 290, WIFO.

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