%0 Journal Article %1 neely:2003:IREF %A Neely, Christopher J. %D 2003 %J International Review of Economics and Finance %K Equity Stock Technical Trading algorithms, analysis, genetic price price, programming, rule, %N 1 %P 69--87 %R doi:10.1016/S1059-0560(02)00129-6 %T Risk-adjusted, ex ante, optimal technical trading rules in equity markets %U http://www.sciencedirect.com/science/article/B6W4V-45Y6NP2-2/2/509ab197233d25f28135f96076539edf %V 12 %X This article uses genetic programming to construct risk-adjusted, ex ante, optimal, trading rules for the S&P500 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.

@article{neely:2003:IREF, abstract = {This article uses genetic programming to construct risk-adjusted, ex ante, optimal, trading rules for the S&P500 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.}, added-at = {2008-06-19T17:35:00.000+0200}, author = {Neely, Christopher J.}, biburl = {https://www.bibsonomy.org/bibtex/2f8f6d52cf92b0b3d2261f393a735eee2/brazovayeye}, doi = {doi:10.1016/S1059-0560(02)00129-6}, interhash = {e3733b279f2cfedb2a4089d6021a268c}, intrahash = {f8f6d52cf92b0b3d2261f393a735eee2}, journal = {International Review of Economics and Finance}, keywords = {Equity Stock Technical Trading algorithms, analysis, genetic price price, programming, rule,}, month = {Spring}, notes = {JEL classification codes: G0; G14 Also available as working paper 1999-015D}, number = 1, pages = {69--87}, timestamp = {2008-06-19T17:48:10.000+0200}, title = {Risk-adjusted, ex ante, optimal technical trading rules in equity markets}, url = {http://www.sciencedirect.com/science/article/B6W4V-45Y6NP2-2/2/509ab197233d25f28135f96076539edf}, volume = 12, year = 2003 }