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Keywords:

  • genetic algorithms;
  • stock timing;
  • technical analysis;
  • market efficiency

Abstract

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.