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Optimización de estrategias de trading con promedios móviles para futuros de petróleo mediante algoritmos genéticos

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dc.contributor.authorAragón Bohorquez, Arbeyspa
dc.contributor.authorMejía Vega, Carlos Armando
dc.contributor.authorZapata Quimbayo, Carlos Andrés
dc.date.accessioned2019-05-13 00:00:00
dc.date.accessioned2022-09-08T13:41:24Z
dc.date.available2019-05-13 00:00:00
dc.date.available2022-09-08T13:41:24Z
dc.date.issued2019-05-13
dc.description.abstractLa implementación de estrategias de trading a través de herramientas computacionales e inteligencia artificial, entre ellas las redes neuronales artificiales (RNA) y los algoritmos genéticos (AG), ha presentado avances importantes en los últimos años. En este trabajo se implementó un AG para optimizar una estrategia de trading basada en dos promedios móviles en el mercado intradiario de futuros de petróleo crudo WTI. La función objetivo es el retorno global de la inversión. En el documento se presenta la metodología y el diseño de esta estrategia de inversión con resultados consistentes incluso fuera de muestra.spa
dc.description.abstractThe implementation of trading strategies through computational tools and artificial intelligence, such as artificial neural networks (ANN) and genetic algorithms (AG), have presented important advances in the last years, In this paper it is implemented a ag for the optimization of a trading strategy with two moving averages in the inter-day market of crude oil futures. The objective function is the global return of the investment. The document presents the methodology and the design of this investment strategy with consistent results even with out-of-sample data.eng
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dc.identifier.doi10.18601/17941113.n15.05
dc.identifier.eissn2346-2140
dc.identifier.issn1794-1113
dc.identifier.urihttps://bdigital.uexternado.edu.co/handle/001/7768
dc.identifier.urlhttps://doi.org/10.18601/17941113.n15.05
dc.language.isospaspa
dc.publisherFacultad de Finanzas, Gobierno y Relaciones Internacionalesspa
dc.relation.bitstreamhttps://revistas.uexternado.edu.co/index.php/odeon/article/download/5951/7676
dc.relation.bitstreamhttps://revistas.uexternado.edu.co/index.php/odeon/article/download/5951/7888
dc.relation.citationeditionNúm. 15 , Año 2018 : Julio-Diciembrespa
dc.relation.citationendpage160
dc.relation.citationissue15spa
dc.relation.citationstartpage139
dc.relation.ispartofjournalOdeonspa
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dc.rightsArbey Aragón Bohorquez, Carlos Armando Mejía Vega, Carlos Andres Zapata Quimbayo - 2019spa
dc.rights.accessrightsinfo:eu-repo/semantics/openAccessspa
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dc.rights.urihttps://creativecommons.org/licenses/by-nc-sa/4.0/spa
dc.sourcehttps://revistas.uexternado.edu.co/index.php/odeon/article/view/5951spa
dc.subjectgenetic algorithms;eng
dc.subjectmoving average;eng
dc.subjectoil futureseng
dc.subjectalgoritmos genéticos;spa
dc.subjectpromedios móviles;spa
dc.subjectfuturos de petróleospa
dc.titleOptimización de estrategias de trading con promedios móviles para futuros de petróleo mediante algoritmos genéticosspa
dc.title.translatedOptimization of trading strategies with moving averages for oil futures using genetic algorithmseng
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