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首页> 外文期刊>Mathematical Problems in Engineering: Theory, Methods and Applications >Generating Moving Average Trading Rules on the Oil Futures Market with Genetic Algorithms
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Generating Moving Average Trading Rules on the Oil Futures Market with Genetic Algorithms

机译：用遗传算法生成石油期货市场的移动平均交易规则

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摘要

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.
机译：原油期货市场在能源融资中起着至关重要的作用。为了获得更大的投资回报，学者和交易者在选择石油期货市场的交易策略时会使用技术指标。在本文中，作者使用遗传算法将石油期货的移动平均价格用于生成有利可图的交易规则。我们将周期长度和计算方法不同组合的个人定义为移动平均交易规则，并使用遗传算法搜索合适的移动平均周期长度和适当的计算方法。作者使用1983年至2013年NYMEX期货的每日原油价格来评估和选择移动平均规则。我们将生成的交易规则与买入并持有（BH）策略进行了比较，以确定生成的移动平均交易规则是否可以在原油期货市场中获得超额收益。通过420个实验，我们确定生成的交易规则可帮助交易者在明显的价格波动时获利。生成的交易规则可以在价格下跌并经历重大波动时实现超额收益，而BH策略在价格上涨时表现更好，或者波动很小时保持平稳。结果可以帮助交易者在不同情况下选择更好的策略。

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