Are trading rules based on genetic algorithms profitable?

被引：10
|
作者：
Matilla-García, M [1 ]
机构：
[1] Univ Nacl Educ Distancia, Dept Econ A Cuantitativa 1, Fac CC Econ, E-28040 Madrid, Spain
来源：
APPLIED ECONOMICS LETTERS | 2006年 / 13卷 / 02期
关键词：
D O I：
10.1080/13504850500392321
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
In this letter the profitability of a simple trading rule based upon genetic algorithms has been Investigated. The referred technical trading rule has been contrasted in four different sample periods of the Spanish stock market index known as IBEX-35. Results suggest that in general the profitability or the simple trading rule is superior to the buy-and-hold strategy. This conclusion is clearer in 'bull', 'bear' and 'volatile' market episodes. These results call be compared with those that apply artificial neural networks as simple trading strategies to the general index of Madrid.
引用
收藏
页码：123 / 126
页数：4
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