Risk adjusted returns from technical trading: a genetic programming approach

Colin Fyfe, Heather Tarbert, John Paul Marney

Research output: Contribution to journalArticle

16 Citations (Scopus)

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
Original languageEnglish
Pages (from-to)1073-1079
Number of pages7
JournalApplied Financial Economics
Volume15
Issue number15
Publication statusPublished - 2005
Externally publishedYes

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