nep-for New Economics Papers
on Forecasting
Issue of 2005‒07‒25
one paper chosen by
Rob J Hyndman
Monash University

  1. Do Moving Average Rules Make Profits? A Study Using The Madrid Stock Market By LAURA MARTA NUÑEZ

  1. By: LAURA MARTA NUÑEZ (Instituto de Empresa)
    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.
    Keywords: Genetic algorithms, Madrid Stock Exchange, Moving average, Trading rules
    Date: 2004–02

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