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Technical Analysis On Foreign Exchange: 1975 - 2004

Author

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  • Fernando Rubio

    (FERNCAPITAL S.A.)

Abstract

The aim of this paper is to determine the potential profitability of technical analysis applied on the foreign exchange market. Eight simple rules of trading are tested in five markets. Only long positions are tracked and reported. When neither commissions nor indexation are included in the analysis, some investment strategies outperform the index. There is little evidence that these excess returns are compensation for bearing excessive risk. However, the most of these strategies require too many transactions and produces only marginal returns. In that sense, when commissions and indexation are introduced, it is concluded that only an investor with the ability to get very low or null commissions and taxes would benefit.

Suggested Citation

  • Fernando Rubio, 2004. "Technical Analysis On Foreign Exchange: 1975 - 2004," Finance 0405033, University Library of Munich, Germany, revised 01 Jul 2004.
    • Handle: RePEc:wpa:wuwpfi:0405033
    Note: Type of Document - pdf; pages: 11
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    References listed on IDEAS

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    Cited by:

    1. 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.

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    More about this item

    Keywords

    Technical; analysis; forex; exchange; rates; efficiency; trading;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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