Risk adjusted returns from technical trading: a genetic programming approach

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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Year of publication:	2005
Authors:	Fyfe, Colin ; Marney, John Paul ; Tarbert, Heather
Published in:	Applied Financial Economics. - Taylor & Francis Journals, ISSN 0960-3107. - Vol. 15.2005, 15, p. 1073-1077
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/10005485213