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Does frequency matter for intraday technical trading?

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  • Frömmel, Michael
  • Lampaert, Kevin

Abstract

We examine the impact of frequency on the intradaily profitability of more than 8000 technical trading rules using an extensive and unexplored sample of intraday data for the Russian Ruble–US Dollar foreign exchange market. The results indicate that technical trading profits seem much more present on a higher frequency basis. The adjustment for real, rather than estimated transaction costs wipes away most of the profits. However, we do find evidence that technical trading rules applied at a sufficiently high frequency generate superior returns when the central bank conducts a stabilizing exchange rate policy.

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  • Frömmel, Michael & Lampaert, Kevin, 2016. "Does frequency matter for intraday technical trading?," Finance Research Letters, Elsevier, vol. 18(C), pages 177-183.
    • Handle: RePEc:eee:finlet:v:18:y:2016:i:c:p:177-183
    DOI: 10.1016/j.frl.2016.04.014
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    Cited by:

    1. Szűcs, Balázs Árpád, 2017. "Forecasting intraday volume: Comparison of two early models," Finance Research Letters, Elsevier, vol. 21(C), pages 249-258.
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    3. Hudson, Robert & McGroarty, Frank & Urquhart, Andrew, 2017. "Sampling frequency and the performance of different types of technical trading rules," Finance Research Letters, Elsevier, vol. 22(C), pages 136-139.
    4. Ponta, Linda & Carbone, Anna, 2018. "Information measure for financial time series: Quantifying short-term market heterogeneity," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 510(C), pages 132-144.
    5. Xiaoye Jin, 2022. "Evaluating the predictive power of intraday technical trading in China's crude oil market," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(7), pages 1416-1432, November.
    6. Jin, Xiaoye, 2022. "Performance of intraday technical trading in China’s gold market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 76(C).
    7. Erhard Reschenhofer & Manveer Kaur Mangat & Christian Zwatz & Sándor Guzmics, 2020. "Evaluation of current research on stock return predictability," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(2), pages 334-351, March.
    8. Yung-Ho Chang, 2019. "Cross-market information spillover and the performance of technical trading in the foreign exchange market," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 43(2), pages 211-227, April.

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    More about this item

    Keywords

    Foreign exchange; Technical analysis; Intraday; Emerging markets;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation

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