Risk adjusted returns from technical trading: a genetic programming approach

Colin Fyfe, John Paul Marney, Heather Tarbert

Research output: Contribution to journalArticle

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
JournalApplied Financial Economics
DOIs
Publication statusPublished - 1 Oct 2005

Keywords

  • technical trading
  • genetic programming

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