Applied Financial Economics · 2005 · 25 citations · 18 references
EconomicsAsset PricingAlgorithmic TradingManagementBusinessEconomic AnalysisBasic ReturnsTechnical Trading RulesTrading ModelAutomated TradingStock Market PredictionFinancial EngineeringBusiness AnalyticsGenetic Programming ApproachFinanceQuantitative ManagementFinancial Modeling
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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