Abstract An accurate measure of profitability of Technical Analysis, free of “datasnooping”, requires the separation of the Training Set (where the parameters of thetechnical filter are obtained) from the Trading Set (where the profit results of thistechnical filter are studied, using parameters obtained in the former). The next taskis how to obtain the “best” parameters for high profits. Following the suggestions ofthe literature, we used a Genetic Algorithm (GA) to spot the “best” parameters inthe Training Set to be used, separately and independently, in the Trading Set. Thispaper presents quantitative results in the use of one GA applied to the Dual MovingAverage Crossover rule (DMAC) applied to hourly data of the Euro-Dollar exchangerate between 1999 and 2006. One important feature of the paper is the use of a GA inan unconstrained and constrained optimization set-up. The first optimization aims atobtaining the highest profit rates. The second one looks for smoother profit rates.Westudy of the impact of these two techniques on a kind of mean-variance relationshipof profit rates. Unconstrained optimization yields an yearly average profits of 16.8%;the constrained one gets 13.4% (but with much lower volatility of cumulative profits overtime).[...]
Optimal trading rules at hourly frequency in the foreign exchange market
TIVEGNA, Massimo
2012-01-01
Abstract
Abstract An accurate measure of profitability of Technical Analysis, free of “datasnooping”, requires the separation of the Training Set (where the parameters of thetechnical filter are obtained) from the Trading Set (where the profit results of thistechnical filter are studied, using parameters obtained in the former). The next taskis how to obtain the “best” parameters for high profits. Following the suggestions ofthe literature, we used a Genetic Algorithm (GA) to spot the “best” parameters inthe Training Set to be used, separately and independently, in the Trading Set. Thispaper presents quantitative results in the use of one GA applied to the Dual MovingAverage Crossover rule (DMAC) applied to hourly data of the Euro-Dollar exchangerate between 1999 and 2006. One important feature of the paper is the use of a GA inan unconstrained and constrained optimization set-up. The first optimization aims atobtaining the highest profit rates. The second one looks for smoother profit rates.Westudy of the impact of these two techniques on a kind of mean-variance relationshipof profit rates. Unconstrained optimization yields an yearly average profits of 16.8%;the constrained one gets 13.4% (but with much lower volatility of cumulative profits overtime).[...]I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
