Research Data from Renmin University of China Update Understanding of Genetic Algorithms (Generating Moving Average Trading Rules on the Oil Futures Market with Genetic Algorithms)
By a News Reporter-Staff News Editor at Journal of Mathematics -- A new study on Genetic Algorithms is now available. According to news reporting out of Beijing, People's Republic of China, by VerticalNews editors, research stated, "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."
Our news journalists obtained a quote from the research from the Renmin University of China, "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."
According to the news editors, the research concluded: "The results can help traders choose better strategies in different circumstances."
For more information on this research see: Generating Moving Average Trading Rules on the Oil Futures Market with Genetic Algorithms. Mathematical Problems in Engineering, 2014;():1-10. Mathematical Problems in Engineering can be contacted at: Hindawi Publishing Corporation, 410 Park Avenue, 15TH Floor, #287 Pmb, New York, NY 10022, USA. (Hindawi Publishing - www.hindawi.com; Mathematical Problems in Engineering - www.hindawi.com/journals/mpe/)
Our news journalists report that additional information may be obtained by contacting L.J. Wang, Renmin Univ China, Inst Chinas Econ Reform & Dev, Beijing 100872, People's Republic of China. Additional authors for this research include H.Z. An, X.H. Xia, X.J. Liu, X.Q. Sun and X. Huang.
Keywords for this news article include: Asia, Beijing, Mathematics, People's Republic of China
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