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| Author: | Neely, C. Weller, P. Dittmar, R. |
| Title: | Is technical analysis in the foreign exchange market profitable? A genetic programming approach |
| Journal: | Journal of Financial and Quantitative Analysis
1997 : DEC, VOL. 32:4, p. 405-426 |
| Index terms: | FOREIGN EXCHANGE MARKET PROFITABILITY FINANCE |
| Language: | eng |
| Abstract: | Using genetic programming techniques to find technical trading rules, the authors 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/Deutsche mark rules are allowed to determine trades in the other markets, there is significant improvement in performance in all cases, except for the Deutsche mark/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. |
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