Optimization 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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Year of publication:	2005
Authors:	Fernandez-Rodriguez, Fernando ; Gonzalez-Martel, Christian ; Sosvilla-Rivero, Simon
Published in:	Applied Financial Economics. - Taylor & Francis Journals, ISSN 0960-3107. - Vol. 15.2005, 11, p. 773-775
Publisher:	Taylor & Francis Journals

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005452239