Using Genetic Algorithms to Find Technical Trading Rules.

We use genetic algorithm to learn trading rules for the S&P 500 index using daily prices from 1928 to 1995. After transaction costs, the rules do not earn consistent excess returns over a simple buy-and-hold test periods.

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Year of publication:	1998
Authors:	Allen, F. ; Karjalainen, R.
Institutions:	Rodney L. White Center for Financial Research, Wharton School of Business
Subject:	MATHEMATICAL ANALYSIS \| FINANCIAL MARKET \| RETURNS

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Series:	Rodney L. White Center for Financial Research Working Papers.
Type of publication:	Book / Working Paper
Notes:	26 pages
Classification:	C61 - Optimization Techniques; Programming Models; Dynamic Analysis ; G11 - Portfolio Choice ; G14 - Information and Market Efficiency; Event Studies
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005618214