Fx Technical Trading Rules Can Be Profitable Sometimes

Jumat, 01 November 2019

Fx Technical Trading Rules Can Be Profitable Sometimes

Zarrabi n and snaith s and coakley j 2017 fx technical trading rules can be profitable sometimes international review of financial analysis 49. This paper investigates the profitability of technical trading rules in the foreign exchange market taking into account data snooping bias and transaction costs.

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However they are not consistently profitable and so the overall results are more consistent with the adaptive markets hypothesis.

Fx technical trading rules can be profitable sometimes. The out of sample results reveal a large number of outperforming rules that are profitable over short periods based on the sharpe ratio. Their results show that the excess returns of the 1970s and 1980s were genuine and not just due to data mining see section 31. Evidence supporting the profitability of technical trading rules ttrs in the fx markets dates from the late 1980s lebaron 1999 lebaron 2002 levich and thomas 1993 neely 1997 sweeney 1986.

As technical analysis relies mainly on past information ttr profitability poses a challenge to the efficient markets hypothesis emh. They analyse the intertemporal stability of excess returns to trading rules in the fx market obtained from out of sample tests on previously studied rules. This paper provides a comprehensiv! e empirical investigation of the profitability of foreign exch! ange technical trading rules over the 199610201506 period for 22 currencies quoted in us dollars.

Fx technical trading rules can be profitable sometimes.

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