Do technical trading rules generate profits? Conclusions from the intra-day foreign exchange market
✍ Scribed by Riccardo Curcio; Charles Goodhart; Dominique Guillaume; Richard Payne
- Publisher
- John Wiley and Sons
- Year
- 1997
- Tongue
- English
- Weight
- 236 KB
- Volume
- 2
- Category
- Article
- ISSN
- 1076-9307
No coin nor oath required. For personal study only.
✦ Synopsis
Several recent studies have demonstrated the pro®tability of technical analysis by simulating certain trading rules over a very long period of daily foreign exchange rates. In this paper, we use ®lter rules identi®ed and supplied by technical analysts on the intradaily foreign exchange market. We provide evidence that, although some pro®ts could be made by following these rules in periods of trends, this was not the case on average. Our results are further strengthened when we incorporate transaction costs. We also simulate some of the rules used in previous studies and show that they would not be pro®table when applied to our intra-daily data set.