Kuang, P., Schröder, M. and Wang, Qingwei ORCID: https://orcid.org/0000-0002-3695-7846 2014. Illusory profitability of technical analysis in emerging foreign exchange markets. International Journal of Forecasting 30 (2) , pp. 192-205. 10.1016/j.ijforecast.2013.07.015 |
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Official URL: http://dx.doi.org/10.1016/j.ijforecast.2013.07.015
Abstract
We conduct an extensive examination of the profitability of technical analysis in ten emerging foreign exchange markets. Studying 25,988 trading strategies for emerging foreign exchange markets, we find that the best rules can sometimes generate an annual mean excess return of more than 30%. Based on standard tests, we find hundreds to thousands of seemingly significant profitable strategies. However, almost all of these profits vanish once the data snooping bias is taken into account. Overall, we show that the profitability of technical analysis is illusory.
Item Type: | Article |
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Date Type: | Publication |
Status: | Published |
Schools: | Business (Including Economics) |
Subjects: | H Social Sciences > HB Economic Theory H Social Sciences > HG Finance |
Uncontrolled Keywords: | Currency markets; Technical trading; Data mining; Bootstrap test |
Publisher: | Elsevier |
ISSN: | 0169-2070 |
Date of First Compliant Deposit: | 30 March 2016 |
Last Modified: | 04 Dec 2024 06:45 |
URI: | https://orca.cardiff.ac.uk/id/eprint/66242 |
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