Do Moving Average Rules Make Profits? A Study Using The Madrid Stock Market

Laura Nuñez ()
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Laura Nuñez: Instituto de Empresa
Authors registered in the RePEc Author Service: Laura Marta Nuñez Letamendia ()

Working Papers Economia from Instituto de Empresa, Area of Economic Environment

Abstract: (WP 03/04 Clave pdf) Previous studies have reported mixed results with regard to the success of technical trading rules.Studies that provide positive evidence are [Brock et al (1992), Karjalainen (1994), Bessembinder et al (1995),Mills (1997), and Fernandez et al (1999)]. Studies rejecting the utility of technical trading rules are [Hudson et al (1996) or Allen et al (1999)]. A recent body of work has applied evolutionary algorithms to the design of trading rules [see Karjalainen (1994), Allen et al (1999), Fernandez et al (2001) and Nuñez (2002)].This paper uses genetic algorithms to tests the forecastability of the moving average in the MSE.We report the lack of utility of this indicator.

Keywords: Genetic algorithms; Madrid Stock Exchange; Moving average; Trading rules (search for similar items in EconPapers)
Pages: 16 pages
Date: 2004-02
New Economics Papers: this item is included in nep-cmp, nep-fmk and nep-for
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