Are trading rules based on genetic algorithms profitable?

Abstract

In this letter the profitability of a simple trading rule based upon genetic algorithms has been investigated. The referred technical trading rule has been contrasted in four different sample periods of the Spanish stock market index known as IBEX-35. Results suggest that in general the profitability of the simple trading rule is superior to the buy-and-hold strategy. This conclusion is clearer in ‘bull’, ‘bear’ and ‘volatile’ market episodes. These results can be compared with those that apply artificial neural networks as simple trading strategies to the general index of Madrid.