Optimisation of Technical Rules by Genetic Algorithms: Evidence from the Madrid Stock Market

FEDEA Working Paper No. 2001-14

10 Pages Posted: 14 Sep 2001

See all articles by Fernando Fernández Rodríguez

Fernando Fernández Rodríguez

University of Las Palmas de Gran Canaria - Faculty of Economic Science

Christian González-Martel

Universidad de Las Palmas de Gran Canaria.-Dept. Métodos Cuantitativos en Economía y Gestión; University of Las Palmas de Gran Canaria - Department of Quantitative Methods in Economics

Simon Sosvilla-Rivero

UCM Institute for Economic Analysis

Date Written: August 2001

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.

Keywords: Technical trading rules, Genetic algorithms, Security markets

JEL Classification: G10, G14, C53

Suggested Citation

Fernández Rodríguez, Fernando and González-Martel, Christian and Sosvilla-Rivero, Simon, Optimisation of Technical Rules by Genetic Algorithms: Evidence from the Madrid Stock Market (August 2001). FEDEA Working Paper No. 2001-14. Available at SSRN: https://ssrn.com/abstract=283195 or http://dx.doi.org/10.2139/ssrn.283195

Fernando Fernández Rodríguez

University of Las Palmas de Gran Canaria - Faculty of Economic Science ( email )

Campus de Tafira
E-35017 Las Palmas
Spain
+34 928 45 18 02 (Phone)
+34 928 45 18 29 (Fax)

Christian González-Martel

Universidad de Las Palmas de Gran Canaria.-Dept. Métodos Cuantitativos en Economía y Gestión ( email )

Facultad de Economía, Empresa y Turismo.
Módulo D. Planta 4. Despacho 07
Las Palmas de GC, Las Palmas 35017
Spain
+34 928458220 (Phone)
+34 928458225 (Fax)

University of Las Palmas de Gran Canaria - Department of Quantitative Methods in Economics ( email )

Campus de Tafira
35017 Las Palmas
Spain
+34 928458220 (Phone)
+34 928458225 (Fax)

Simon Sosvilla-Rivero (Contact Author)

UCM Institute for Economic Analysis ( email )

Carretera de Humera s/n
Madrid, Madrid 28223
Spain
+34913932626 (Phone)

HOME PAGE: http://www.ucm.es/info/ecocuan/ssr/

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