Stock timing using genetic algorithms
Article first published online: 21 MAY 2002
Copyright © 2002 John Wiley & Sons, Ltd.
Applied Stochastic Models in Business and Industry
Volume 18, Issue 2, pages 121–134, April/June 2002
How to Cite
Korczak, J. and Roger, P. (2002), Stock timing using genetic algorithms. Appl. Stochastic Models Bus. Ind., 18: 121–134. doi: 10.1002/asmb.457
- Issue published online: 21 MAY 2002
- Article first published online: 21 MAY 2002
- Manuscript Revised: 15 JAN 2002
- Manuscript Received: 2 FEB 2001
- genetic algorithms;
- stock timing;
- technical analysis;
- market efficiency
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.