Optimization of technical rules by genetic algorithms: evidence from the Madrid stock market
Fernando Fernandez-Rodriguez,
Christian Gonzalez-Martel () and
Simon Sosvilla-Rivero
Applied Financial Economics, 2005, vol. 15, issue 11, 773-775
Abstract:
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.
Date: 2005
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DOI: 10.1080/09603100500107818
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