Do Technical Trading Rules Generate Profits? Conclusions from the Intra-day Foreign Exchange Market
AbstractSeveral recent studies have demonstrated the profitability of technical analysis by simulating certain trading rules over a very long period of daily foreign exchange rates. In this paper, we use filter rules identified and supplied by technical analysts on the intra-daily foreign exchange market. We provide evidence that, although some profits could be made by following these rules in periods of trends, this was not the case on average. Our results are further strengthened when we incorporate transaction costs. We also simulate some of the rules used in previous studies and show that they would not be profitable when applied to our intra-daily data set. Copyright @ 1997 by John Wiley & Sons, Ltd. All rights reserved.
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Bibliographic InfoArticle provided by John Wiley & Sons, Ltd. in its journal International Journal of Finance & Economics.
Volume (Year): 2 (1997)
Issue (Month): 4 (October)
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Web page: http://www.interscience.wiley.com/jpages/1076-9307/
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- Y. Shi & A. N. Gorban & T. Y. Yang, 2013. "Is it possible to predict long-term success with k-NN? Case Study of four market indices (FTSE100, DAX, HANGSENG, NASDAQ)," Papers 1307.8308, arXiv.org.
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