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.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Bibliographic InfoArticle provided by John Wiley & Sons, Ltd. in its journal International Journal of Finance & Economics.
Volume (Year): 2 (1997)
Issue (Month): 4 (October)
Contact details of provider:
Web page: http://www.interscience.wiley.com/jpages/1076-9307/
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Carol Osler, 2000. "Support for resistance: technical analysis and intraday exchange rates," Economic Policy Review, Federal Reserve Bank of New York, issue Jul, pages 53-68.
- Bertrand Maillet & Thierry Michel, 2005. "Technical analysis profitability when exchange rates are pegged: A note," The European Journal of Finance, Taylor & Francis Journals, vol. 11(6), pages 463-470.
- Menkhoff, Lukas & Taylor, Mark P., 2006.
"The Obstinate Passion of Foreign Exchange Professionals: Technical Analysis,"
Hannover Economic Papers (HEP)
dp-352, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
- Lukas Menkhoff & Mark P. Taylor, 2007. "The Obstinate Passion of Foreign Exchange Professionals: Technical Analysis," Journal of Economic Literature, American Economic Association, vol. 45(4), pages 936-972, December.
- Menkhoff, Lukas & Taylor, Mark P., 2006. "The Obstinate Passion of Foreign Exchange Professionals : Technical Analysis," The Warwick Economics Research Paper Series (TWERPS) 769, University of Warwick, Department of Economics.
- Stephan Schulmeister, 2007. "Performance of Technical Trading Systems in the Yen/Dollar Market," WIFO Working Papers 291, WIFO.
- Neely, C. J. & Weller, P. A., 2003.
"Intraday technical trading in the foreign exchange market,"
Journal of International Money and Finance,
Elsevier, vol. 22(2), pages 223-237, April.
- Christopher J. Neely & Paul A. Weller, 2001. "Intraday technical trading in the foreign exchange market," Working Papers 1999-016, Federal Reserve Bank of St. Louis.
- Paul Weller & Christopher Neely, 1999. "Intraday Technical Trading in the Foreign Exchange Market," Working Papers wp99-02, Warwick Business School, Finance Group.
- Schulmeister, Stephan, 2006.
"The interaction between technical currency trading and exchange rate fluctuations,"
Finance Research Letters,
Elsevier, vol. 3(3), pages 212-233, September.
- Stephan Schulmeister, 2005. "The Interaction between Technical Currency Trading and Exchange Rate Fluctuations," Finance 0512033, EconWPA.
- Stephan Schulmeister, 2005. "The Interaction between Technical Currency Trading and Exchange Rate Fluctuations," WIFO Working Papers 264, WIFO.
- Taylor, Mark P, 2003.
"Is Official Exchange Rate Intervention Effective?,"
CEPR Discussion Papers
3758, C.E.P.R. Discussion Papers.
- Danielsson, J. & Payne, R., 2002.
"Real trading patterns and prices in spot foreign exchange markets,"
Journal of International Money and Finance,
Elsevier, vol. 21(2), pages 203-222, April.
- Jon Danielsson & Richard Payne, 1999. "Real Trading Patterns and Prices in Spot Foreign Exchange Markets," FMG Discussion Papers dp320, Financial Markets Group.
- Nguyen, James, 2004. "The Efficient Market Hypothesis: Is It Applicable to the Foreign Exchange Market?," Economics Working Papers wp04-20, School of Economics, University of Wollongong, NSW, Australia.
- 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.
- Gehrig, Thomas & Menkhoff, Lukas, 2003. "Technical Analysis in Foreign Exchange - The Workhorse Gains Further Ground," Hannover Economic Papers (HEP) dp-278, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wiley-Blackwell Digital Licensing) or (Christopher F. Baum).
If references are entirely missing, you can add them using this form.