Risk-adjusted, ex ante, optimal technical trading rules in equity markets

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@Article{neely:2003:IREF,

• author = "Christopher J. Neely",
• title = "Risk-adjusted, ex ante, optimal technical trading rules in equity markets",
• journal = "International Review of Economics and Finance",
• year = "2003",
• volume = "12",
• number = "1",
• pages = "69--87",
• month = "Spring",
• keywords = "genetic algorithms, genetic programming, Technical analysis, Trading rule, Stock price, Equity price",
• URL = "http://research.stlouisfed.org/wp/1999/1999-015.pdf",
• URL = "http://www.sciencedirect.com/science/article/B6W4V-45Y6NP2-2/2/509ab197233d25f28135f96076539edf",
• DOI = "doi:10.1016/S1059-0560(02)00129-6",
• abstract = "This article uses genetic programming to construct risk-adjusted, ex ante, optimal, trading rules for the S&P500 Index and then characterizes the predictive content of these rules. These results extend previous results by using risk adjustment selection criteria to generate ex ante rules with improved performance. There is, however, no evidence that the rules significantly outperform the buy-and-hold strategy on a risk-adjusted basis. Therefore, the results are consistent with market efficiency. Nevertheless, risk-adjustment techniques should be seriously considered when evaluating trading strategies.",
• notes = "JEL classification codes: G0; G14 Also available as working paper 1999-015D",

}

Genetic Programming entries for Christopher J Neely

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