This file is part of IDEAS , which uses RePEc data
[ Papers |
Articles |
Software |
Books |
Chapters |
Authors |
Institutions |
JEL Classification |
NEP reports |
Search |
New papers by email |
Author registration |
Rankings |
Volunteers |
FAQ |
Blog |
Help! ]
Risk adjusted returns from technical trading: a genetic programming approach Author info | Abstract | Publisher info | Download info | Related research | Statistics Colin Fyfe
John Marney
Heather Tarbert
In this study, Genetic Programming is used to generate technical trading rules. These are assessed in terms of their basic returns and their risk adjusted returns. It is found that while the basic returns are impressive by comparison with buy and hold, they do not outperform buy and hold after risk-adjustment.
To download:
If you experience problems downloading a file, check if you have the
proper application to
view it first. Information about this may be contained
in the File-Format links below. In case of further problems read
the IDEAS help
page . Note that these files are not on the IDEAS
site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Article provided by Taylor and Francis Journals in its journal Applied Financial Economics .
Volume (Year): 15 (2005)
Issue (Month): 15 (October)
Pages: 1073-1077
Download reference. The following formats are available: HTML
(with abstract ),
plain text
(with abstract ),
BibTeX ,
RIS (EndNote, RefMan, ProCite),
ReDIF
Handle: RePEc:taf:apfiec:v:15:y:2005:i:15:p:1073-1077Contact details of provider: Web page: http://www.tandf.co.uk/journals/routledge/09603107.html
Order Information: Web: http://www.tandf.co.uk/journals/subscription.html
For technical questions regarding this item, or to correct its listing, contact: (Christopher F. Baum).
Keywords: 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.:
Brock, William A. & Hommes, Cars H., 1998.
"Heterogeneous beliefs and routes to chaos in a simple asset pricing model ,"
Journal of Economic Dynamics and Control ,
Elsevier, vol. 22(8-9), pages 1235-1274, August.
[Downloadable!] (restricted)
Boswijk, H.P., Griffioen, G.A.W., Hommes, C.H., 2001.
"Succes and Failure of Technical Trading Strategies in the Cocoa Futures Market ,"
Computing in Economics and Finance 2001
120, Society for Computational Economics.
Other versions:
Peter Boswijk & Gerwin Griffioen & Cars Hommes, 2001.
"Success and Failure of Technical Trading Strategies in the Cocoa Futures Market ,"
Tinbergen Institute Discussion Papers
01-016/1, Tinbergen Institute.
[Downloadable!] Boswijk, H.P. & Griffioen, G.A.W. & Hommes, C.H., 2000.
"Succes and Failure of Technical Trading Strategies in the Cocoa Futures Markets ,"
CeNDEF Working Papers
00-06, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
Gerwin Griffioen & Peter Boswijk & Cars Hommes, 2001.
"Success and Failure of Technical Trading Strategies in the Cocoa Futures Market ,"
CeNDEF Workshop Papers, January 2001
4A.4, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
Cars H. Hommes, 2001.
"Financial Markets as Nonlinear Adaptive Evolutionary Systems ,"
Tinbergen Institute Discussion Papers
01-014/1, Tinbergen Institute.
[Downloadable!]
Other versions: Hendrik Bessembinder & Kalok Chan, 1998.
"Market Efficiency and the Returns to Technical Analysis ,"
Financial Management ,
Financial Management Association, vol. 27(2), Summer.
Routledge, Bryan R., 2001.
"Genetic Algorithm Learning To Choose And Use Information ,"
Macroeconomic Dynamics ,
Cambridge University Press, vol. 5(02), pages 303-325, April.
[Downloadable!]
Dittmar, Robert & Neely, Christopher J & Weller, Paul, 1996.
"Is Technical Analysis in the Foreign Exchange Market Profitable? A Genetic Programming Approach ,"
CEPR Discussion Papers
1480, C.E.P.R. Discussion Papers.
[Downloadable!] (restricted)
Other versions:
Christopher J. Neely & Paul A. Weller & Robert Dittmar, 1997.
"Is technical analysis in the foreign exchange market profitable? a genetic programming approach ,"
Working Papers
1996-006, Federal Reserve Bank of St. Louis.
[Downloadable!] Neely, Christopher & Weller, Paul & Dittmar, Rob, 1997.
"Is Technical Analysis in the Foreign Exchange Market Profitable? A Genetic Programming Approach ,"
Journal of Financial and Quantitative Analysis ,
Cambridge University Press, vol. 32(04), pages 405-426, December.
[Downloadable!] 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)
W. Brian Arthur & John H. Holland & Blake LeBaron & Richard Palmer & Paul Taylor, 1996.
"Asset Pricing Under Endogenous Expectation in an Artificial Stock Market ,"
Working Papers
96-12-093, Santa Fe Institute.
Franklin Allen & Risto Karjalainen, .
"Using Genetic Algorithms to Find Technical Trading Rules (Revised: 20-95) ,"
Rodney L. White Center for Financial Research Working Papers
20-93, Wharton School Rodney L. White Center for Financial Research.
Brock, W. & Lakonishok, J. & Lebaron, B., 1991.
"Simple Technical Trading Rules And The Stochastic Properties Of Stock Returns ,"
Working papers
90-22, Wisconsin Madison - Social Systems.
Other versions:
Full
references
Access and
download statistics Did you know? You can use IDEAS to provide links to papers and articles in your course syllabus.
This page was last updated on 2009-11-8.
This information is provided to you by IDEAS at the Department of Economics , College of Liberal Arts and Sciences , University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics .