Neely, Christopher J.; Weller, Paul A.; Ulrich, Joshua M. - In: Journal of Financial and Quantitative Analysis 44 (2009) 02, pp. 467-488
We analyze the intertemporal stability of excess returns to technical trading rules in the foreign exchange market by conducting true, out-of-sample tests on previously studied rules. The excess returns of the 1970s and 1980s were genuine and not just the result of data mining. But these profit...