Research Repository

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. pp. 113-127. ISSN 1057-5219

1-s2.0-S1057521916301958-main.pdf - Accepted Version

Download (822kB) | Preview


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
Uncontrolled Keywords: Technical trading; False discovery rate; Persistence analysis; Exchange rate
Subjects: H Social Sciences > HG Finance
Divisions: Faculty of Social Sciences
Faculty of Social Sciences > Essex Business School
SWORD Depositor: Elements
Depositing User: Elements
Date Deposited: 14 Feb 2017 13:32
Last Modified: 06 Jan 2022 14:44

Actions (login required)

View Item View Item