This paper proposes a new medium/long term investment strategy for stock markets based on a combination of Simple Moving Averages Crossover (SMAC) and Moving Average Derivate (MAD). This strategy is compared with the Buy and Hold, with the Moving Averages Crossover, and with the Moving Average Derivate strategy. The experiments show that the combination of SMAC and MAD outperforms the results o...

On markets with receding prices, artificial noise traders may consider alternatives to buy-and-hold. By simulating variations of the Parrondo strategy, using real data from the Swedish stock market, we produce first indications of a buylow-sell-random Parrondo variation outperforming buy-and-hold. Subject to our assumptions, buy-low-sell-random also outperforms the traditional value and trend i...

This study investigates whether discount rate changes serve as an informative signal for investors to enter or exit the stock market. Based on the signal, a market timing strategy is formulated and its performance relative to a passive buy-and-hold strategy is tested with several performance evaluation methods. Empirical evidence derived from data of seven developed countries over more than 29 ...

Genetic programming (GP) is increasingly popular as a research tool for applications in finance and economics. One thread in this area is the use of GP to discover effective technical trading rules. In a seminal article, Allen & Karjalainen (1999) used GP to find rules that were profitable, but were nevertheless outperformed by the simple “buy and hold” trading strategy. Many succeeding attempt...

in this study, we focused on tehran stock exchange market analysis based on applying moving average rules. the tehran stock exchange in the middle east has evolved into an exciting and growing marketplace where individual and institutional investor trade securities of over 420 companies. in an attempt to examine the ability to earn excess return by exploiting moving average rules, the average a...

This paper presents a number of experiments in which GP-evolved technical trading rules outperform a buy-and-hold strategy on the S&P500, even taking into account transaction costs. Several methodology changes from previous work are discussed and tested. These include a complexity-penalizing factor, a fitness function that considers consistency of performance, and coevolution of a separate buy ...