Stock timing using genetic algorithms

In this paper, a genetic algorithm to search a set of technical trading rules which gives buying and selling advices about individual stocks is proposed. This approach is tested out of a sample of 24 French stocks among the most important stocks traded on the French market. We show that in most cases. the method outperforms a simple buy and hold strategy. However, we also illustrate the fact that the near-optimal set of rules varies through time and across stocks. (C) Copyright 2002 John Wiley Sons. Ltd.