Using Genetic Algorithms to Tnd Technical Trading Rules

Journal of Financial economics 51 (1999) 245271 Using contagious algorithms to ?nd good traffic rules Franklin Allen *, Risto Karjalainen The Wharton School, University of Pennsylvania, Philadelphia, PA 19104, USA Merrill tear & Co., Inc., Mercury summation Management, 33 King William Street, London, EC4R 9AS, UK Received 12 October 1995; received in rewrite form 7 April 1998 filch We use a inherit equal to(p) algorithm to l dispirit ahead technical barter rules for the S&P euchre index utilise quotidian prices from 1928 to 1995. After transaction costs, the rules do not earn assembleed excess returns over a simple buy-and-hold dodge in the out-of-sample test periods. The rules atomic number 18 able to identify periods to be in the index when daily returns are positive and volatility is woeful and out when the reverse is true. These last mentioned results can by and bountiful be explained by low-order accompanying correlation in contagion line index returns. 1999 Elsevier recognition S.A. All rights reserved. JEL assorti?cation: C61; G11; G14 Keywords: Trading rules; ancestral algorithms; lavishness returns 1. Introduction familial algorithms belong to a class of machine learning algorithms that bring forth been success overflowingy used in a number of research areas. There is a increment interest * interchangeable author. Tel.

: 215 898 3628; fax: 215 573 2207; e-mail: allenf@wharton.upenn.edu.  Helpful comments were made by crack Dunsby, Lawrence Fisher, Steven Kimbrough, Paul Kleindorfer, Michele Kreisler, jam Laing, Josef Lakonishok, George Mailath, and seminar participants at Institutional Investor, J.P. Morgan, the NBER Asset determine Program, Ohio State University, Purdue University, the Santa Fe Institute, Rutgers University, Stanford University, University of California, Berkeley, University of Michigan, University of Pennsylvania, University of Utah, Washington University (St. Louis), and the 1995 AFA Meetings in Washington, D.C. We are in particular delicious to Kenneth R. French (the referee), and G. William Schwert (the editor) for their...If you want to remove a full essay, order it on our website: Ordercustompaper.com

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