Do Moving Average Rules Make Profits? A Study Using The Madrid Stock Market
Abstract(WP 03/04 Clave pdf) Previous studies have reported mixed results with regard to the success of technical trading rules.Studies that provide positive evidence are [Brock et al (1992), Karjalainen (1994), Bessembinder et al (1995),Mills (1997), and Fernandez et al (1999)]. Studies rejecting the utility of technical trading rules are [Hudson et al (1996) or Allen et al (1999)]. A recent body of work has applied evolutionary algorithms to the design of trading rules [see Karjalainen (1994), Allen et al (1999), Fernandez et al (2001) and NuÃ±ez (2002)].This paper uses genetic algorithms to tests the forecastability of the moving average in the MSE.We report the lack of utility of this indicator.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. 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.
Bibliographic InfoPaper provided by Instituto de Empresa, Area of Economic Environment in its series Working Papers Economia with number wp04-03.
Length: 16 pages
Date of creation: Feb 2004
Date of revision:
Contact details of provider:
Postal: María de Molina, 11. 28006 Madrid
Phone: +34 91 568 96 00
Web page: http://www.ie.edu/esp/claustro/claustro_areas_detalle.asp?id=5
More information through EDIRC
Genetic algorithms; Madrid Stock Exchange; Moving average; Trading rules;
This paper has been announced in the following NEP Reports:
- NEP-ALL-2005-07-25 (All new papers)
- NEP-CMP-2005-07-25 (Computational Economics)
- NEP-FMK-2005-07-25 (Financial Markets)
- NEP-FOR-2005-07-25 (Forecasting)
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.:
- Christopher Neely & Paul Weller, 1998.
"Technical trading rules in the European Monetary System,"
1997-015, Federal Reserve Bank of St. Louis.
- Neely, Christopher J. & Weller, Paul A., 1999. "Technical trading rules in the European Monetary System," Journal of International Money and Finance, Elsevier, vol. 18(3), pages 429-458.
- 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.
- Hudson, Robert & Dempsey, Michael & Keasey, Kevin, 1996. "A note on the weak form efficiency of capital markets: The application of simple technical trading rules to UK stock prices - 1935 to 1994," Journal of Banking & Finance, Elsevier, vol. 20(6), pages 1121-1132, July.
- Varetto, Franco, 1998. "Genetic algorithms applications in the analysis of insolvency risk," Journal of Banking & Finance, Elsevier, vol. 22(10-11), pages 1421-1439, October.
- Colin Fyfe & John Paul Marney & Heather Tarbert, 1999. "Technical analysis versus market efficiency - a genetic programming approach," Applied Financial Economics, Taylor & Francis Journals, vol. 9(2), pages 183-191.
- Ki-Yeol Kwon & Richard Kish, 2002. "Technical trading strategies and return predictability: NYSE," Applied Financial Economics, Taylor & Francis Journals, vol. 12(9), pages 639-653.
- 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.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Amada Marcos).
If references are entirely missing, you can add them using this form.