Patience Extracts Sugar from a Lemon: Buy and Hold with a Classifier System in the Istanbul Stock Exchange

Recent studies in behavioral finance establish that active traders may underperform those who trade less. Such a result is partly due to the persistently high annual net returns earned by well-diversified portfolios in stock markets. This paper shows that the buy-and-hold strategy as a nonactive trading rule may yield huge net returns under the prescriptions of a classifier system, even in an extremely volatile and horizontal market, namely, the Istanbul Stock Exchange.