Skip to main content Skip to main content
SHARE   Share on Twitter Share on Facebook Email

Risk-Adjusted, Ex Ante, Optimal, Technical Trading Rules in Equity Markets

This paper uses genetic programming to construct risk-adjusted, ex ante, optimal, trading rules for the S&P 500 Index and then characterizes the predictive content of these rules. These results extend previous results by using risk-adjustment selection criteria to generate ex ante rules with improved performance. There is, however, no evidence that the rules significantly outperform the buy-and-hold strategy on a risk-adjusted basis. Therefore, the results are consistent with market efficiency. Nevertheless, risk-adjustment techniques should be seriously considered when evaluating trading strategies.

Read Full Text (0KB)

Subscribe to our newsletter

Follow us

Twitter logo Google Plus logo Facebook logo YouTube logo LinkedIn logo
Back to Top