New Evidence of Technical Trading Profitability

Viktor Manahov (v.manahov@newcastle.ac.uk) and Robert Hudson
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Viktor Manahov: University of Newcastle

Economics Bulletin, 2013, vol. 33, issue 4, 2493-2503

Abstract: We developed profitable foreign exchange forecasts by applying a special adaptive form of the Strongly Typed Genetic Programming (STGP)-based learning algorithm to five-minute high frequency data of six of the most traded currency pairs. We examined the out-of-sample performance of these intraday technical trading models based on STGP and optimised linear forecasting. We found evidence of economically and statistically significant out-of-sample excess returns, after taking into account appropriate transaction costs.

Keywords: Foreign Exchange; Genetic Programming (search for similar items in EconPapers)
JEL-codes: F3 (search for similar items in EconPapers)
Date: 2013-10-04
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Citations: View citations in EconPapers (2)

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