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
Date Written: August 2001
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: Suggested Citation