Authors:
Adriano Simoes
;
Rui Neves
and
Nuno Horta
Affiliation:
Instituto das Telecomunicações and Instituto Superior Técnico, Portugal
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.