Exploiting trends in the foreign exchange markets
We offer further evidence on the relevance of technical trading in exchange-rate markets using daily data for 95 currencies against the US dollar. To that end, we investigate the profitability of a simple technical trading rule based on Taylor's (1980) price trend model, generating optimal one-step-ahead forecasts of returns using genetic algorithms. These trading rules, that bear similarity to the popular trading rules based on moving averages, overcome the buy-and-hold strategy in 25 of 39 cases where trends are detected, even in the presence of transaction costs.
Year of publication: |
2012
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Authors: | Fernández-Pérez, Adrián ; Fernández-Rodríguez, Fernando ; Sosvilla-Rivero, Simón |
Published in: |
Applied Economics Letters. - Taylor & Francis Journals, ISSN 1350-4851. - Vol. 19.2012, 6, p. 591-597
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Publisher: |
Taylor & Francis Journals |
Saved in:
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