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
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 language | English |
---|---|
Pages (from-to) | 1073-1079 |
Number of pages | 7 |
Journal | Applied Financial Economics |
Volume | 15 |
Issue number | 15 |
Publication status | Published - 2005 |
Externally published | Yes |