Working Paper

Intraday technical trading in the foreign exchange market


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;

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

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Bibliographic Information

Provider: Federal Reserve Bank of St. Louis

Part of Series: Working Papers

Publication Date: 2001

Number: 1999-016