Title: On the profitability of technical trading rules based on artificial neural networks:
Abstract: In this paper we investigate the profitability of a simple technical trading rule based on Artificial Neural Networks (ANNs). Our results, based on applying this investment strategy to the General Index of the Madrid Stock Market, suggest that, in absence of trading costs, the technical trading rule is always superior to a buy-and-hold strategy for both “bear” market and “stable” market episodes. On the other hand, we find that the buy-and-hold strategy generates higher returns than the trading rule based on ANN only for a “bull” market subperiod.
Publication Year: 2000
Publication Date: 2000-10-01
Language: en
Type: article
Indexed In: ['crossref']
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Cited By Count: 248
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