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.

• This report represents the work of one or more WPI undergraduate students submitted to the faculty as evidence of completion of a degree requirement. WPI routinely publishes these reports on its website without editorial or peer review.

Creator

• Cao, Yi

Publisher

• Worcester Polytechnic Institute

Identifier

• 03D180M

Advisor

• Becker, Lee A.

Year

• 2003

Date created

• 2003-01-01

Resource type

• Major Qualifying Project

Major

• Computer Science

Rights statement

• In Copyright