%0 Report %1 neely:2006-046 %A Neely, Christopher J. %A Weller, Paul A. %A Ulrich, Joshua M. %C P.O. Box 442, St. Louis, MO 63166, USA %D 2006 %K algorithms, genetic programming %N 2006-046B %T The adaptive markets hypothesis: evidence from the foreign exchange market %U http://research.stlouisfed.org/wp/2006/2006-046.pdf %X We analyse the intertemporal stability of returns to technical trading rules in the foreign exchange market by conducting true, out-of-sample tests on previously published rules. The excess returns of the 1970s and 1980s were genuine and not just the result of data mining. But these profit opportunities had disappeared by the mid-1990s for filter and moving average (MA) rules. Returns to less-studied rules, such as channel, ARIMA, genetic programming and Markov rules, also have declined, but have probably not completely disappeared. The volatility of returns makes it difficult to estimate mean returns precisely. The most likely time for a structural break in the MA and filter rule returns is the early 1990s. These regularities are consistent with the Adaptive Markets Hypothesis (Lo, 2004), but not with the Efficient Markets Hypothesis.

@techreport{neely:2006-046, abstract = {We analyse the intertemporal stability of returns to technical trading rules in the foreign exchange market by conducting true, out-of-sample tests on previously published rules. The excess returns of the 1970s and 1980s were genuine and not just the result of data mining. But these profit opportunities had disappeared by the mid-1990s for filter and moving average (MA) rules. Returns to less-studied rules, such as channel, ARIMA, genetic programming and Markov rules, also have declined, but have probably not completely disappeared. The volatility of returns makes it difficult to estimate mean returns precisely. The most likely time for a structural break in the MA and filter rule returns is the early 1990s. These regularities are consistent with the Adaptive Markets Hypothesis (Lo, 2004), but not with the Efficient Markets Hypothesis.}, added-at = {2008-06-19T17:35:00.000+0200}, address = {P.O. Box 442, St. Louis, MO 63166, USA}, author = {Neely, Christopher J. and Weller, Paul A. and Ulrich, Joshua M.}, biburl = {https://www.bibsonomy.org/bibtex/20151ec216cb0fc3208ab44f27b8cd7c6/brazovayeye}, institution = {Federal Reserve Bank of St. Louis, Research Division}, interhash = {6a212eca75c950d7c8b3a16a0ac9c4da}, intrahash = {0151ec216cb0fc3208ab44f27b8cd7c6}, keywords = {algorithms, genetic programming}, month = {August}, note = {Revised March 2007}, notes = {No Download Restriction}, number = {2006-046B}, size = {52 pages}, timestamp = {2008-06-19T17:48:10.000+0200}, title = {The adaptive markets hypothesis: evidence from the foreign exchange market}, type = {Working Paper}, url = {http://research.stlouisfed.org/wp/2006/2006-046.pdf}, year = 2006 }