Risk adjusted returns from technical trading: a genetic programming approach

Colin Fyfe, John Paul Marney and Heather Tarbert

Applied Financial Economics, 2005, vol. 15, issue 15, 1073-1077

Abstract: 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.

Date: 2005
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DOI: 10.1080/09603100500306709

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