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

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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Authors:	Fernández-Rodríguez, Fernando ; González-Martel, Christian ; Sosvilla-Rivero, Simón
Institutions:	FEDEA

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Extent:	application/pdf
Series:	Working Papers.
Type of publication:	Book / Working Paper
Notes:	Number 2001-14
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005685015