| Abstract: |
(WP 03/04 Clave pdf) Previous studies have reported mixed results with regard
to the success of technical trading rules.Studies that provide positive
evidence are [Brock et al (1992), Karjalainen (1994), Bessembinder et al
(1995),Mills (1997), and Fernandez et al (1999)]. Studies rejecting the
utility of technical trading rules are [Hudson et al (1996) or Allen et al
(1999)]. A recent body of work has applied evolutionary algorithms to the
design of trading rules [see Karjalainen (1994), Allen et al (1999), Fernandez
et al (2001) and Nuñez (2002)].This paper uses genetic algorithms to tests
the forecastability of the moving average in the MSE.We report the lack of
utility of this indicator. |