The 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. [ABSTRACT FROM AUTHOR]