Faculty Advisor

Becker, Lee A.

Abstract

This MQP uses genetic algorithms to find technical trading rules for the S&P 500 index using monthly prices from 1954 to 1994. The rules we found do earn excess returns over a simply buy-and-hold strategy without transaction costs. However, after the transaction costs, even when earning the risk free interest rate while out of the market, the rules do not earn consistent excess over buy-and-hold strategy in the out-of-sample test periods.

Publisher

Worcester Polytechnic Institute

Date Accepted

January 2003

Major

Computer Science

Project Type

Major Qualifying Project

Accessibility

Restricted-WPI community only

Advisor Department

Computer Science

Advisor Program

Computer Science

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