Illusory profitability of technical analysis in emerging foreign exchange markets

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

Preview

PDF - Accepted Post-Print Version Download (114kB) | Preview

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
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

Citation Data

Cited 22 times in Scopus. View in Scopus. Powered By Scopus® Data

Actions (repository staff only)

Edit Item