Is Technical Analysis in the Foreign Exchange Market Profitable? A Genetic Programming Approach

Christopher Neely, Paul Weller and Rob Dittmar

Journal of Financial and Quantitative Analysis, 1997, vol. 32, issue 4, 405-426

Abstract: Using genetic programming techniques to find technical trading rules, we find strong evidence of economically significant out-of-sample excess returns to those rules for each of six exchange rates over the period 1981–1995. Further, when the dollar/Deutsche mark rules are allowed to determine trades in the other markets, there is significant improvement in performance in all cases, except for the Deutsche mark/yen. Betas calculated for the returns according to various benchmark portfolios provide no evidence that the returns to these rules are compensation for bearing systematic risk. Bootstrapping results on the dollar/Deutsche mark indicate that the trading rules detect patterns in the data that are not captured by standard statistical models.

Date: 1997
References: Add references at CitEc
Citations: View citations in EconPapers (212)

Downloads: (external link)
https://www.cambridge.org/core/product/identifier/ ... type/journal_article link to article abstract page (text/html)

Related works:
Working Paper: Is technical analysis in the foreign exchange market profitable? a genetic programming approach (1997)
Working Paper: Is Technical Analysis in the Foreign Exchange Market Profitable? A Genetic Programming Approach (1996)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:cup:jfinqa:v:32:y:1997:i:04:p:405-426_00

Access Statistics for this article

More articles in Journal of Financial and Quantitative Analysis from Cambridge University Press Cambridge University Press, UPH, Shaftesbury Road, Cambridge CB2 8BS UK.
Bibliographic data for series maintained by Kirk Stebbing ().