%0 Journal Article %1 neely:1997:JFQA %A Neely, Christopher J. %A Weller, Paul A. %A Dittmar, Rob %D 1997 %J The Journal of Financial and Quantitative Analysis %K algorithms, genetic programming %N 4 %P 405--426 %T Is Technical Analysis in the Foreign Exchange Market Profitable? A Genetic Programming Approach %U http://links.jstor.org/sici?sici=0022-1090%28199712%2932%3A4%3C405%3AITAITF%3E2.0.CO%3B2-T %V 32 %X 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/Deutsche mark rules are allowed to determine trades in the other markets, there is significant improvement in performance in all cases, except for the Deutsche mark/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/Deutsche mark indicate that the trading rules detect patterns in the data that are not captured by standard statistical models.

@article{neely:1997:JFQA, 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/Deutsche mark rules are allowed to determine trades in the other markets, there is significant improvement in performance in all cases, except for the Deutsche mark/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/Deutsche mark indicate that the trading rules detect patterns in the data that are not captured by standard statistical models.}, added-at = {2008-06-19T17:46:40.000+0200}, author = {Neely, Christopher J. and Weller, Paul A. and Dittmar, Rob}, biburl = {https://www.bibsonomy.org/bibtex/271b59b1e26f803442aa42041e229fe81/brazovayeye}, interhash = {cfe07e8adeb232db3c292ca44a975b56}, intrahash = {71b59b1e26f803442aa42041e229fe81}, issn = {00221090}, journal = {The Journal of Financial and Quantitative Analysis}, keywords = {algorithms, genetic programming}, month = {December}, notes = {Also available as working paper 1996-006C http://research.stlouisfed.org/wp/1996/96-006.pdf}, number = 4, pages = {405--426}, size = {43 pages}, timestamp = {2008-06-19T17:48:07.000+0200}, title = {Is Technical Analysis in the Foreign Exchange Market Profitable? {A} Genetic Programming Approach}, url = {http://links.jstor.org/sici?sici=0022-1090%28199712%2932%3A4%3C405%3AITAITF%3E2.0.CO%3B2-T}, volume = 32, year = 1997 }