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
Date Written: September 1999
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: Suggested Citation