Further insights on the puzzle of technical analysis profitability

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Further insights on the puzzle of technical analysis profitability

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Bertrand Maillet, Thierry Michel

Abstract

This paper extends current results concerning technical analysis efficiency on the foreign exchange market and attempts to determine whether filtering the raw exchange rate series with some trading rule significantly changes its characteristics. Because of the non-normality of exchange rate series, bootstrap methods are used on the main daily exchange rates since 1974 to show technical analysis performance. The technical analysis strategy tested generates returns whose distribution is significantly different from the basic series. The robustness of the results is tested in and out-of-sample and an explanation of the technical analysis performance based on its filtering properties is suggested.

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Publisher Info
Article provided by Taylor and Francis Journals in its journal The European Journal of Finance.

Volume (Year): 6 (2000)
Issue (Month): 2 (June)
Pages: 196-224
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Handle: RePEc:taf:eurjfi:v:6:y:2000:i:2:p:196-224

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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

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Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

Stephan Schulmeister, 2007. "The Interaction Between the Aggregate Behaviour of Technical Trading Systems and Stock Price Dynamics," WIFO Working Papers 290, WIFO. [Downloadable!]
Christopher J. Neely & Paul A. Weller & Joshua M. Ulrich, 2007. "The adaptive markets hypothesis: evidence from the foreign exchange market," Working Papers 2006-046, Federal Reserve Bank of St. Louis. [Downloadable!]
Other versions:
- Neely, Christopher J. & Weller, Paul A. & Ulrich, Joshua M., 2009. "The Adaptive Markets Hypothesis: Evidence from the Foreign Exchange Market," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 44(02), pages 467-488, April. [Downloadable!]

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