Optimizing Genetic Algorithm With Momentum Strategy for Technical Trading Rules: Evidence From Futures Markets
提出一种结合动量效应的遗传算法优化动态复合策略，利用1984-2022年35个活跃期货合约的日数据，证明该策略能提升捕捉市场趋势的能力，实现稳定回报，对投资者和金融学者有参考价值。
ABSTRACT This paper introduces an innovative genetically optimized dynamic composite strategy for achieving profitability in futures markets. Utilizing daily data from 35 actively traded futures contracts (1984–2022), we highlight the potential advantages of integrating the momentum effect into dynamic moving average strategies. This enhancement can boost the strategy's capability to capture and capitalize on market trends, ensuring consistent and stable returns. The developed dynamically composite technical trading strategy aspires to be a valuable reference for investors and the finance academic community, contributing to advancements in the field.