Generating Moving Average Trading Rules on the Oil Futures Market with Genetic Algorithms
作者: Lijun WangHaizhong AnXiaohua XiaXiaojia LiuXiaoqi SunXuan HuangWei Chen
作者单位: 1School of Humanities and Economic Management, China University of Geosciences, Beijing 100083, China
2Key Laboratory of Carrying Capacity Assessment for Resource and Environment, Ministry of Land and Resources, Beijing 100083, China
3Lab of Resources and Environmental Management, China University of Geosciences, Beijing 100083, China
4Institute of China’s Economic Reform and Development, Renmin University of China, Beijing 100872, China
刊名: Mathematical Problems in Engineering, 2014, Vol.2014
来源数据库: Hindawi Journal
DOI: 10.1155/2014/101808
原始语种摘要: The crude oil futures market plays a critical role in energy finance. To gain greater investment return, scholars and traders use technical indicators when selecting trading strategies in oil futures market. In this paper, the authors used moving average prices of oil futures with genetic algorithms to generate profitable trading rules. We defined individuals with different combinations of period lengths and calculation methods as moving average trading rules and used genetic algorithms to search for the suitable lengths of moving average periods and the appropriate calculation methods. The authors used daily crude oil prices of NYMEX futures from 1983 to 2013 to evaluate and select moving average rules. We compared the generated trading rules with the buy-and-hold (BH) strategy to...
全文获取路径: Hindawi  (合作)

  • trading 贸易
  • prices 行情
  • futures 期货
  • returns 返回粉末
  • rules 守则
  • market 市场
  • excess 超量
  • finance 金融
  • strategy 战略
  • moving 移动