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Generating Moving Average Trading Rules on the Oil Futures Market with Genetic Algorithms
Joint Authors
Xia, Xiaohua
Sun, Xiaoqi
Wang, Lijun
Liu, Xiaojia
Huang, Xuan
An, Haizhong
Source
Mathematical Problems in Engineering
Issue
Vol. 2014, Issue 2014 (31 Dec. 2014), pp.1-10, 10 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2014-05-26
Country of Publication
Egypt
No. of Pages
10
Main Subjects
Abstract EN
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 determine whether generated moving average trading rules can obtain excess returns in the crude oil futures market.
Through 420 experiments, we determine that the generated trading rules help traders make profits when there are obvious price fluctuations.
Generated trading rules can realize excess returns when price falls and experiences significant fluctuations, while BH strategy is better when price increases or is smooth with few fluctuations.
The results can help traders choose better strategies in different circumstances.
American Psychological Association (APA)
Wang, Lijun& An, Haizhong& Xia, Xiaohua& Liu, Xiaojia& Sun, Xiaoqi& Huang, Xuan. 2014. Generating Moving Average Trading Rules on the Oil Futures Market with Genetic Algorithms. Mathematical Problems in Engineering،Vol. 2014, no. 2014, pp.1-10.
https://search.emarefa.net/detail/BIM-446405
Modern Language Association (MLA)
Wang, Lijun…[et al.]. Generating Moving Average Trading Rules on the Oil Futures Market with Genetic Algorithms. Mathematical Problems in Engineering No. 2014 (2014), pp.1-10.
https://search.emarefa.net/detail/BIM-446405
American Medical Association (AMA)
Wang, Lijun& An, Haizhong& Xia, Xiaohua& Liu, Xiaojia& Sun, Xiaoqi& Huang, Xuan. Generating Moving Average Trading Rules on the Oil Futures Market with Genetic Algorithms. Mathematical Problems in Engineering. 2014. Vol. 2014, no. 2014, pp.1-10.
https://search.emarefa.net/detail/BIM-446405
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-446405