Is technical analysis in the foreign exchange market profitable? a genetic programming approach

Robert Dittmar, Christopher Neely and Paul A. Weller

No 1996-006, Working Papers from Federal Reserve Bank of St. Louis

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/deutschemark rules are allowed to determine trades in the other markets, there is a significant improvement in performance in all cases, except for the deutschemark/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/deutschemark indicate that the trading rules are detecting patterns in the data that are not captured by standard statistical models.

Keywords: Programming (Mathematics); Foreign exchange (search for similar items in EconPapers)
Date: 1997
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Citations: View citations in EconPapers (200)

Published in Journal of Financial and Quantitative Analysis, December 1997

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Related works:
Journal Article: 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)
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