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Authors: Adriano Simoes ; Rui Neves and Nuno Horta

Affiliation: Instituto das Telecomunicações and Instituto Superior Técnico, Portugal

ISBN: 978-989-8425-31-7

Keyword(s): Optimization, Technical Analysis, Evolutionary Algorithms, Financial Analysis, Moving Average, Stocks.

Related Ontology Subjects/Areas/Topics: Artificial Intelligence ; Computational Intelligence ; Evolutionary Computing ; Genetic Algorithms ; Informatics in Control, Automation and Robotics ; Intelligent Control Systems and Optimization ; Soft Computing

Abstract: 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 of each strategy individually. The presented approach has an average return of investment of 9.0%, compared with the 2.6% return of the Buy and Hold, for the S&P500, FTSE100, DAX30 and NIKKEI225, between 2004 and 2009.

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Paper citation in several formats:
Simoes, A.; Neves, R. and Horta, N. (2010). AN INNOVATIVE GA OPTIMIZED INVESTMENT STRATEGY BASED ON A NEW TECHNICAL INDICATOR USING MULTIPLE MAS.In Proceedings of the International Conference on Evolutionary Computation - Volume 1: ICEC, (IJCCI 2010) ISBN 978-989-8425-31-7, pages 306-310. DOI: 10.5220/0003058103060310

@conference{icec10,
author={Adriano Simoes. and Rui Neves. and Nuno Horta.},
title={AN INNOVATIVE GA OPTIMIZED INVESTMENT STRATEGY BASED ON A NEW TECHNICAL INDICATOR USING MULTIPLE MAS},
booktitle={Proceedings of the International Conference on Evolutionary Computation - Volume 1: ICEC, (IJCCI 2010)},
year={2010},
pages={306-310},
publisher={SciTePress},
organization={INSTICC},
doi={10.5220/0003058103060310},
isbn={978-989-8425-31-7},
}

TY - CONF

JO - Proceedings of the International Conference on Evolutionary Computation - Volume 1: ICEC, (IJCCI 2010)
TI - AN INNOVATIVE GA OPTIMIZED INVESTMENT STRATEGY BASED ON A NEW TECHNICAL INDICATOR USING MULTIPLE MAS
SN - 978-989-8425-31-7
AU - Simoes, A.
AU - Neves, R.
AU - Horta, N.
PY - 2010
SP - 306
EP - 310
DO - 10.5220/0003058103060310

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