Journal article
Is Technical Analysis in the Foreign Exchange Market Profitable? A Genetic Programming Approach
Journal of financial and quantitative analysis, Vol.32(4), pp.405-426
12/01/1997
DOI: 10.2307/2331231
Abstract
Using genetic programming techniques to find technical trading rules, we find strong evidence of economically significant out-of-sample excess returns to those rules for each of six exchange rates over the period 1981–1995. Further, when the dollar/Deutsche mark rules are allowed to determine trades in the other markets, there is significant improvement in performance in all cases, except for the Deutsche mark/yen. Betas calculated for the returns according to various benchmark portfolios provide no evidence that the returns to these rules are compensation for bearing systematic risk. Bootstrapping results on the dollar/Deutsche mark indicate that the trading rules detect patterns in the data that are not captured by standard statistical models.
Details
- Title: Subtitle
- Is Technical Analysis in the Foreign Exchange Market Profitable? A Genetic Programming Approach
- Creators
- Christopher Neely - Federal Reserve Bank of St. LouisPaul Weller - University of IowaRob Dittmar - Federal Reserve Bank of St. Louis
- Resource Type
- Journal article
- Publication Details
- Journal of financial and quantitative analysis, Vol.32(4), pp.405-426
- DOI
- 10.2307/2331231
- ISSN
- 0022-1090
- eISSN
- 1756-6916
- Publisher
- Cambridge University Press
- Number of pages
- 22
- Language
- English
- Date published
- 12/01/1997
- Academic Unit
- Finance
- Record Identifier
- 9984963150902771
Metrics
2 Record Views