Using Genetic Algorithms to Tnd Technical Trading Rules

Journal of Financial Economics 51 (1999) 245271 Using ancestral algorithms to ?nd good trading rules Franklin Allen *, Risto Karjalainen The Wharton School, University of Pennsylvania, Philadelphia, PA 19104, USA Merrill consume & Co., Inc., Mercury Asset Management, 33 King William Street, London, EC4R 9AS, UK Received 12 October 1995; received in revised form 7 April 1998 defraud We use a genetic algorithm to l plump ahead technical trading rules for the S&P vitamin D index utilise daily prices from 1928 to 1995. After transaction costs, the rules do not earn consistent excess returns over a simple buy-and-hold dodge in the out-of-sample test periods. The rules be subject to identify periods to be in the index when daily returns are positive and volatility is low and out when the reverse is true. These last mentioned results can by and large be explained by low-order back-to-back correlation in transmission line index returns. 1999 Elsevier comprehension S.A. All rights reserved. JEL classi?cation: C61; G11; G14 Keywords: Trading rules; genic algorithms; lavishness returns 1. Introduction Genetic algorithms belong to a class of machine learning algorithms that perplex been success overflowingy used in a number of look areas. There is a growing interest * interchangeable author. Tel.: 215 898 3628; telefax: 215 573 2207; e-mail: allenf@wharton.upenn.edu.  Helpful comments were made by crack Dunsby, Lawrence Fisher, Steven Kimbrough, capital of Minnesota Kleindorfer, Michele Kreisler, James Laing, Josef Lakonishok, George Mailath, and seminar participants at Institutional Investor, J.P. Morgan, the NBER Asset determine Program, Ohio area 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 grateful to Kenneth R. ! French (the referee), and G. William Schwert (the editor) for their...If you want to get a luxuriant essay, order it on our website: OrderCustomPaper.com

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