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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. 113 - 127. ISSN 1057-5219

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Abstract

© 2017 The Authors This paper investigates the profitability of technical trading rules in the foreign exchange market taking into account data snooping bias and transaction costs. A universe of 7650 trading rules is applied to six currencies quoted in U.S. dollars over the 1994:3–2014:12 period. The Barras, Scaillet, and Wermers (2010) false discovery rate method is employed to deal with data snooping and it detects almost all outperforming trading rules while keeping the proportion of false discoveries to a pre-specified level. The out-of-sample results reveal a large number of outperforming rules that are profitable over short periods based on the Sharpe ratio. However, they are not consistently profitable and so the overall results are more consistent with the adaptive markets hypothesis.

Item Type: Article
Subjects: H Social Sciences > HG Finance
Divisions: Faculty of Social Sciences > Essex Business School
Faculty of Social Sciences > Essex Business School > Essex Finance Centre
Depositing User: Jim Jamieson
Date Deposited: 14 Feb 2017 13:32
Last Modified: 24 May 2019 12:15
URI: http://repository.essex.ac.uk/id/eprint/18805

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