Does frequency matter for intraday technical trading?

Michael Frömmel and Kevin Lampaert

Finance Research Letters, 2016, vol. 18, issue C, 177-183

Abstract: We examine the impact of frequency on the intradaily profitability of more than 8000 technical trading rules using an extensive and unexplored sample of intraday data for the Russian Ruble–US Dollar foreign exchange market. The results indicate that technical trading profits seem much more present on a higher frequency basis. The adjustment for real, rather than estimated transaction costs wipes away most of the profits. However, we do find evidence that technical trading rules applied at a sufficiently high frequency generate superior returns when the central bank conducts a stabilizing exchange rate policy.

Keywords: Foreign exchange; Technical analysis; Intraday; Emerging markets (search for similar items in EconPapers)
JEL-codes: G11 G14 G17 (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (8)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:18:y:2016:i:c:p:177-183

DOI: 10.1016/j.frl.2016.04.014

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