Optimisation of Technical Rules by Genetic Algorithms: Evidence from the Madrid Stock Market

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Optimisation of Technical Rules by Genetic Algorithms: Evidence from the Madrid Stock Market

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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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Paper provided by FEDEA in its series Working Papers with number 2001-14.

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Handle: RePEc:fda:fdaddt:2001-14

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Article
- Fernando Fernández-Rodríguez & Christian González-Martel & Simón Sosvilla-Rivero, 2005. "Optimization of technical rules by genetic algorithms: evidence from the Madrid stock market," Applied Financial Economics, Taylor and Francis Journals, vol. 15(11), pages 773-775, July. [Downloadable!] (restricted)

This paper has been announced in the following NEP Reports:

NEP-ALL-2001-10-16 (All new papers)
NEP-CMP-2001-10-16 (Computational Economics)
NEP-EVO-2001-10-16 (Evolutionary Economics)

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.:

Simón Sosvilla-Rivero, . "La política macroeconómica en economías interdependientes," Working Papers 2001-03, FEDEA. [Downloadable!]
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Other versions:
- Omar Licandro & Jorge Durán & Javier Ruiz-Castillo, . "The Measurement of Growth under Embodied Technical Change," Working Papers 2001-09, FEDEA. [Downloadable!]
- Omar LICANDRO & Javier RUIZ-CASTILLO & Jorge DURAN, 2002. "The Measurement of Growth under Embodied Technical Change," Discussion Papers (REL - Recherches Economiques de Louvain) 2002011, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES). [Downloadable!]
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Other versions:
- Juan José Dolado & Carlos García-Serrano & Juan F. Jimeno, . "Drawing Lessons from the Boom of Temporary Jobs in Spain," Working Papers 2001-11, FEDEA. [Downloadable!]
- Dolado, Juan J. & Garcia-Serrano, Carlos & Jimeno, Juan Francisco, 2001. "Drawing Lessons From the Boom of Temporary Jobs in Spain," CEPR Discussion Papers 2884, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
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)
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Salvador Barrios & Holger Görg & Eric Strobl, . "Multinational Enterprises and New Trade Theory: Evidence for the Convergence Hypothesis," Working Papers 2000-28, FEDEA. [Downloadable!]
Other versions:
- Barrios, Salvador & Görg, Holger & Strobl, Eric, 2001. "Multinational Enterprises and New Trade Theory: Evidence for the Convergence Hypothesis," CEPR Discussion Papers 2827, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
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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!]
Other versions:
- Francisco Ledesma-Rodríguez & Manuel Navarro-Ibáñez & Jorge Pérez-Rodríguez & Simón Sosvilla-Rivero, 2005. "Assessing the credibility of a target zone: evidence from the EMS," Applied Economics, Taylor and Francis Journals, vol. 37(19), pages 2265-2287, October. [Downloadable!] (restricted)
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!]
Other versions:
- Bonin, Holger & Abio, Gemma & Berenguer, Eduardo & Gil, Joan & Patxot, Concepció, 2001. "Is the Deficit under Control?A Generational Accounting Perspective on Fiscal Policy and Labour Market Trends in Spain," IZA Discussion Papers 306, Institute for the Study of Labor (IZA). [Downloadable!]
- Gemma Abío & Eduard Berenguer & Holger Bonin & Joan Gil & Concepció Patxot, 2003. "Is the deficit under control? A generational accounting perspective on fiscal policy and labour market trends in Spain," Investigaciones Economicas, Fundación SEPI, vol. 27(2), pages 309-341, May. [Downloadable!]
Namkee Ahn & Pedro Mira, . "Labor Force Participation and Retirement of Spanish Older Men: Trends and Prospects," Working Papers 2000-25, FEDEA. [Downloadable!]
Fernando Fernández-Rodríguez & Simón Sosvilla-Rivero & Julián Andrada-Félix, . "Technical analysis in the Madrid stock exchange," Working Papers 99-05, FEDEA. [Downloadable!]
Other versions:
- Fernández-Rodríguez & Simón Sosvilla-Rivero & Julián Andrada-Félix, . "Technical analysis in the Madrid stock exchange," Studies on the Spanish Economy 23, FEDEA. [Downloadable!]

Full references

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.)

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!]
Stephan Schulmeister, 2007. "The Interaction Between the Aggregate Behaviour of Technical Trading Systems and Stock Price Dynamics," WIFO Working Papers 290, WIFO. [Downloadable!]

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This page was last updated on 2009-11-29.

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