%0 Report %1 99-016 %A Neely, Christopher J. %A Weller, Paul A. %C 411 Locust Street, St. Louis, MO 63102, USA %D 2001 %K algorithms, exchange genetic programming, rates rules, technical trading %N 1999-016B %T Intraday Technical Trading in the Foreign Exchange Market %U http://research.stlouisfed.org/wp/1999/99-016.pdf %X This paper examines the out-of-sample performance of intraday technical trading strategies selected using two methodologies, a genetic program and an optimized linear forecasting model. When realistic transaction costs and trading hours are taken into account, we find no evidence of excess returns to the trading rules derived with either methodology. Thus, our results are consistent with market efficiency. We do, however, find that the trading rules discover some remarkably stable patterns in the data.

@techreport{99-016, abstract = {This paper examines the out-of-sample performance of intraday technical trading strategies selected using two methodologies, a genetic program and an optimized linear forecasting model. When realistic transaction costs and trading hours are taken into account, we find no evidence of excess returns to the trading rules derived with either methodology. Thus, our results are consistent with market efficiency. We do, however, find that the trading rules discover some remarkably stable patterns in the data.}, added-at = {2008-06-19T17:46:40.000+0200}, address = {411 Locust Street, St. Louis, MO 63102, USA}, author = {Neely, Christopher J. and Weller, Paul A.}, biburl = {https://www.bibsonomy.org/bibtex/2171c507ae67ead309021439a1dcf86b2/brazovayeye}, institution = {Federal Reserve Bank of St. Louis, Research Division}, interhash = {f200352e419078d1d71fc786eaed6c9e}, intrahash = {171c507ae67ead309021439a1dcf86b2}, keywords = {algorithms, exchange genetic programming, rates rules, technical trading}, month = {10 January}, notes = {JEL subject numbers: F31, G15 see also \cite{neely:2003:JIMF}}, number = {1999-016B}, size = {34 pages}, timestamp = {2008-06-19T17:48:08.000+0200}, title = {Intraday Technical Trading in the Foreign Exchange Market}, type = {Working paper}, url = {http://research.stlouisfed.org/wp/1999/99-016.pdf}, year = 2001 }