Generating Moving Average Trading Rules on the Oil Futures Market with Genetic Algorithms
Table 2
Results of experiment.
Period
Rbh
Classification
1
3
12
3.768
0.663
−3.105
3
2
20
20
−2.946
2.899
5.845
1
3
15
16
5.299
7.717
2.419
1
4
1
6
0.647
−0.862
−1.510
4
5
20
11
−7.185
−0.097
7.088
2
6
1
12
4.976
0.808
−4.168
3
7
5
11
5.240
1.854
−3.386
3
8
10
9
−1.175
−0.357
0.818
2
9
19
12
−5.610
0.691
6.301
1
10
0
16
16.338
6.943
−9.396
3
11
1
13
2.740
0.127
−2.613
3
12
15
11
−1.420
−0.576
0.844
2
13
0
7
4.343
−2.296
−6.640
4
14
0
14
14.069
3.141
−10.928
3
15
7
8
2.287
0.273
−2.014
3
16
12
9
−0.715
−0.092
0.622
2
17
0
20
26.227
21.037
−5.190
3
18
20
3
−9.746
−4.131
5.615
2
19
0
0
3.512
−6.091
−9.603
4
20
1
10
2.968
−0.193
−3.161
4
21
7
6
−0.162
−1.092
−0.930
4
is the number of generated trading rules receiving positive excess returns compared with the BH strategy in the 20 trials. is the number of generated trading rules acquiring returns in the test periods. Rbh is the return rate of the BH strategy. is the average return rate of the 20 trials in each period. is the average excess return rate of 20 trials in each period.
