Stock timing using genetic algorithms | Zendy

Korczak J. | Zendy; Roger P. | Zendy

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Stock timing using genetic algorithms

Author(s) -

Korczak J.,

Roger P.

Publication year - 2002

Publication title -

applied stochastic models in business and industry

Language(s) - English

Resource type - Journals

SCImago Journal Rank - 0.413

H-Index - 40

eISSN - 1526-4025

pISSN - 1524-1904

DOI - 10.1002/asmb.457

Subject(s) - stock (firearms) , computer science , trading strategy , stock market , econometrics , set (abstract data type) , simple (philosophy) , genetic algorithm , economics , financial economics , algorithm , machine learning , engineering , mechanical engineering , paleontology , philosophy , epistemology , horse , biology , programming language

In this paper, a genetic algorithm to search a set of technical trading rules which gives buying and selling advices about individual stocks is proposed. This approach is tested out of a sample of 24 French stocks among the most important stocks traded on the French market. We show that in most cases, the method outperforms a simple buy and hold strategy. However, we also illustrate the fact that the near‐optimal set of rules varies through time and across stocks. Copyright © 2002 John Wiley & Sons, Ltd.

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