Optimisation of Technical Rules by Genetic Algorithms: Evidence from the Madrid Stock Market
AbstractThis 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.
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 FEDEA in its series Working Papers with number 2001-14.
Date of creation:
Date of revision:
Contact details of provider:
Web page: http://www.fedea.net
Other versions of this item:
- Fernando Fernandez-Rodriguez & Christian Gonzalez-Martel & Simon Sosvilla-Rivero, 2005. "Optimization of technical rules by genetic algorithms: evidence from the Madrid stock market," Applied Financial Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 15(11), pages 773-775.
- NEP-ALL-2001-10-16 (All new papers)
- NEP-CMP-2001-10-16 (Computational Economics)
- NEP-EVO-2001-10-16 (Evolutionary Economics)
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.:
- Allen, Franklin & Karjalainen, Risto, 1999. "Using genetic algorithms to find technical trading rules," Journal of Financial Economics, Elsevier, Elsevier, vol. 51(2), pages 245-271, February.
- Brock, W. & Lakonishok, J. & Lebaron, B., 1991.
"Simple Technical Trading Rules And The Stochastic Properties Of Stock Returns,"
Working papers, Wisconsin Madison - Social Systems
90-22, Wisconsin Madison - Social Systems.
- Brock, William & Lakonishok, Josef & LeBaron, Blake, 1992. " Simple Technical Trading Rules and the Stochastic Properties of Stock Returns," Journal of Finance, American Finance Association, American Finance Association, vol. 47(5), pages 1731-64, December.
- Fernández-Rodríguez & Simón Sosvilla-Rivero & Julián Andrada-Félix, .
"Technical analysis in the Madrid stock exchange,"
Studies on the Spanish Economy, FEDEA
- Bessembinder, Hendrik & Chan, Kalok, 1995. "The profitability of technical trading rules in the Asian stock markets," Pacific-Basin Finance Journal, Elsevier, Elsevier, vol. 3(2-3), pages 257-284, July.
- Stephan Schulmeister, 2007. "The Interaction Between the Aggregate Behaviour of Technical Trading Systems and Stock Price Dynamics," WIFO Working Papers, WIFO 290, WIFO.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Carmen Arias).
If references are entirely missing, you can add them using this form.