Technical analysis and genetic programming: Constructing and testing a commodity portfolio

✍ Scribed by Matthew C. Roberts

• Book ID: 102219529
• Publisher: John Wiley and Sons
• Year: 2005
• Tongue: English
• Weight: 137 KB
• Volume: 25
• Category: Article
• ISSN: 0270-7314
• DOI: 10.1002/fut.20161

✦ Synopsis

Although academic research on the usefulness of technical analysis is mixed at best, its use remains widespread in commodity markets. Much prior research into technical analysis suffers from data-snooping biases. Using genetic programming, ex ante optimal technical trading strategies are identified. Because they are mechanically generated from simple arithmetic operators, they are free of the data-snooping bias common in technical analysis research. Futures prices from 24 markets are used in rule generation. Rules for only two of the markets are capable of generating profits at the 5% level of significance using out-of-sample data, lending little support for technically based systems.