Intraday technical trading in the foreign exchange market

Christopher Neely and Paul A. Weller

No 1999-016, Working Papers from Federal Reserve Bank of St. Louis

Abstract: This paper examines the out-of-sample performance of intraday technical trading strategies selected using two methodologies, a genetic program and an optimized linear forecasting model. When realistic transaction costs and trading hours are taken into account, we find no evidence of excess returns to the trading rules derived with either methodology. Thus, our results are consistent with market efficiency. We do, however, find that the trading rules discover some remarkably stable patterns in the data.

Keywords: Foreign; exchange (search for similar items in EconPapers)
Date: 2001
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Citations: View citations in EconPapers (12)

Published in Journal of International Money and Finance, 2003, 22(2), pp. 223-237

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DOI: 10.20955/wp.1999.016

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