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Risk adjusted returns from technical trading: a genetic programming approach

  • Colin Fyfe
  • John Paul Marney
  • Heather Tarbert
Registered author(s):

    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.

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    File URL: http://www.tandfonline.com/doi/abs/10.1080/09603100500306709
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    Article provided by Taylor & Francis Journals in its journal Applied Financial Economics.

    Volume (Year): 15 (2005)
    Issue (Month): 15 ()
    Pages: 1073-1077

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    Handle: RePEc:taf:apfiec:v:15:y:2005:i:15:p:1073-1077
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    1. C. H. Hommes, 2001. "Financial markets as nonlinear adaptive evolutionary systems," Quantitative Finance, Taylor & Francis Journals, vol. 1(1), pages 149-167.
    2. Stephen J. Brown & William N. Goetzmann & Alok Kumar, 2004. "The Dow Theory: William Peter Hamilton's Track Record Re-considered," Yale School of Management Working Papers ysm30, Yale School of Management.
    3. repec:dgr:uvatin:20010016 is not listed on IDEAS
    4. 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.
    5. 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.
    6. 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.
    7. 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.
    8. 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.
    9. Routledge, Bryan R., 2001. "Genetic Algorithm Learning To Choose And Use Information," Macroeconomic Dynamics, Cambridge University Press, vol. 5(02), pages 303-325, April.
    10. repec:dgr:uvatin:2001016 is not listed on IDEAS
    11. 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.
    12. repec:dgr:uvatin:20010014 is not listed on IDEAS
    13. 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.
    14. Hendrik Bessembinder & Kalok Chan, 1998. "Market Efficiency and the Returns to Technical Analysis," Financial Management, Financial Management Association, vol. 27(2), Summer.
    15. 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.
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