Risk adjusted returns from technical trading: a genetic programming approach

Colin Fyfe · John Paul Marney · Heather Tarbert

24 citations0/0 files storedApplied Financial Economics

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Financial Markets and Investment Strategies Stock Market Forecasting Methods Evolutionary Algorithms and Applications

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.

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References

1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*1970EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK*1970Efficient Capital Markets: A Review of Theory and Empirical Work 1992Simple Technical Trading Rules and the Stochastic Properties of Stock Returns 1998Heterogeneous beliefs and routes to chaos in a simple asset pricing model 1999Using genetic algorithms to find technical trading rules 1997Asset Pricing Under Endogenous Expectations in an Artificial Stock Market 1997Is Technical Analysis in the Foreign Exchange Market Profitable? A Genetic Programming Approach

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2007Modelling cost into a genetic algorithm-based portfolio optimization system by seeding and objective sharing

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