C.Neely – Is Technical Analysis in the Foreign Exchange Market Profitable

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

Christopher Neely ([email protected]), Paul A. Weller and Robert Dittmar 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 References: Add references at CitEc Citations View citations in EconPapers (116) Track citations by RSS feed Published in Journal of Financial and Quantitative Analysis, December 1997 Downloads: (external link) http://research.stlouisfed.org/wp/more/1996-006/ http://research.stlouisfed.org/wp/1996/96-006.pdf (application/pdf) 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)  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: http://EconPapers.repec.org/RePEc:fip:fedlwp:1996-006 Ordering information: This working paper can be ordered from [email protected] Access Statistics for this paper More papers in Working Papers from Federal Reserve Bank of St. Louis Contact information at EDIRC. Series data maintained by Anna Xiao ([email protected]).