Intraday Technical Trading in the Foreign Exchange Market

Federal Reserve Bank of St. Louis Working Paper No. 99-016A

31 Pages Posted: 5 Nov 1999

See all articles by Christopher J. Neely

Christopher J. Neely

Federal Reserve Bank of St. Louis - Research Division

Paul A. Weller

University of Iowa - Department of Finance

Date Written: September 1999

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.

JEL Classification: F31, G15

Suggested Citation

Neely, Christopher J. and Weller, Paul A., Intraday Technical Trading in the Foreign Exchange Market (September 1999). Federal Reserve Bank of St. Louis Working Paper No. 99-016A, Available at SSRN: https://ssrn.com/abstract=189495 or http://dx.doi.org/10.2139/ssrn.189495

Christopher J. Neely (Contact Author)

Federal Reserve Bank of St. Louis - Research Division ( email )

411 Locust St
Saint Louis, MO 63011
United States
314-444-8568 (Phone)
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HOME PAGE: http://www.stls.frb.org/research/econ/cneely/

Paul A. Weller

University of Iowa - Department of Finance ( email )

Iowa City, IA 52242-1000
United States
319-335-1017 (Phone)
319-335-3690 (Fax)

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