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

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Arbey Aragón Bohorquez
Carlos Armando Mejía Vega
Carlos Andres Zapata Quimbayo


La 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.

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