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- W2890714735 abstract "In this paper, we present new evidence on the profitability and statistical significance of technical trading rules in the foreign exchange market. We utilize a new data base, currency futures contracts for the period 1976-1990, and we implement a new testing procedure based on bootstrap methodology. Using this approach, we generate thousands of new exchange rate series constructed by random reordering of each original series. We then measure the profitability of the technical rules for each new series. The significance of the profits in the original series is assessed by comparison to the empirical distribution of results derived from the thousands of randomly generated series. Overall, our results suggest that simple technical trading rules have very often led to profits that are highly unusual. Splitting the entire 15-year sample period into three 5-year periods reveals that on average the profitability of some trading rules declined in the 1986-1990 period although profits remained positive (on average) and significant in many cases." @default.
- W2890714735 created "2018-09-27" @default.
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- W2890714735 date "1991-08-01" @default.
- W2890714735 modified "2023-09-27" @default.
- W2890714735 title "The Significance of Technical Trading-Rule Profits in the Foreign Exchange Market: A Bootstrap Approach" @default.
- W2890714735 hasPublicationYear "1991" @default.
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