Do Moving Average Rules Make Profits? A Study Using The Madrid Stock Market
(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.
|Date of creation:||Feb 2004|
|Date of revision:|
|Contact details of provider:|| Postal: |
Phone: +34 91 568 96 00
Web page: http://www.ie.edu/esp/claustro/claustro_areas_detalle.asp?id=5Email:
More information through EDIRC
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.:
- 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.
- 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.
- 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.
- 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.
- 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.
- Christopher Neely & Paul Weller, 1998. "Technical trading rules in the European Monetary System," Working Papers 1997-015, Federal Reserve Bank of St. Louis.
- 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.
When requesting a correction, please mention this item's handle: RePEc:emp:wpaper:wp04-03. See general information about how to correct material in RePEc.
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.