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Do Moving Average Rules Make Profits? A Study Using The Madrid Stock Market

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  • Laura 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.

Suggested Citation

  • Laura Nuñez, 2004. "Do Moving Average Rules Make Profits? A Study Using The Madrid Stock Market," Working Papers Economia wp04-03, Instituto de Empresa, Area of Economic Environment.
    • Handle: RePEc:emp:wpaper:wp04-03
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    Keywords

    Genetic algorithms; Madrid Stock Exchange; Moving average; Trading rules;
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