AN INNOVATIVE GA OPTIMIZED INVESTMENT STRATEGY BASED ON A NEW TECHNICAL INDICATOR USING MULTIPLE MAS

Adriano Simoes, Rui Neves, Nuno Horta

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 Harvard Style

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


in Bibtex Style

@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},
}


in EndNote Style

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