Is Technical Analysis in the Foreign Exchange Market Profitable by C.Neely

Is Technical Analysis in the Foreign Exchange Market Profitable by C.Neely
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Is Technical Analysis in the Foreign Exchange Market Profitable by C.Neely

Is Technical Analysis in the Foreign Exchange Market Profitable by C.Neely

Is Technical Analysis in the Foreign Exchange Market Profitable by C.Neely

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Forex Trading – Foreign Exchange Course

You want to learn about Forex?

Foreign exchange, or forex, is the conversion of one country’s currency into another.
In a free economy, a country’s currency is valued according to the laws of supply and demand.
In other words, a currency’s value can be pegged to another country’s currency, such as the U.S. dollar, or even to a basket of currencies.
A country’s currency value may also be set by the country’s government.
However, most countries float their currencies freely against those of other countries, which keeps them in constant fluctuation.

Is technical analysis in the foreign exchange market profitable? a genetic programming approach

Christopher Neely ([email protected]), Paul A. Weller and Robert Dittmar

No 1996-006, Working Papers from Federal Reserve Bank of St. Louis

Abstract: Using genetic programming techniques to find technical trading rules, we 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/deutschemark rules are allowed to determine trades in the other markets, there is a significant improvement in performance in all cases, except for the deutschemark/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. Bootstrapping results on the dollar/deutschemark indicate that the trading rules are detecting patterns in the data that are not captured by standard statistical models.

Keywords: Programming (Mathematics); Foreign exchange (search for similar items in EconPapers)
Date: 1997
References: Add references at CitEc
Citations View citations in EconPapers (116) Track citations by RSS feed

Published in Journal of Financial and Quantitative Analysis, December 1997

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