Abstract

We report evidence on the profitability and statistical significance among 2,127 technical trading rules. The best rules are found to be significantly profitable based on standard tests. We then employ White’s (2000) Reality Check to evaluate these rules and find that data-snooping biases do not change the basic conclusions for the full sample. A sub-sample analysis indicates that the data-snooping problem is more serious in the second half of the sample. Profitability becomes much weaker in the more recent period, suggesting that the foreign exchange market becomes more efficient over time. Evidence from cross exchange rates confirms the basic findings.

pdf

Additional Information

ISSN
1538-4616
Print ISSN
0022-2879
Pages
pp. 2135-2158
Launched on MUSE
2007-01-22
Open Access
No
Back To Top

This website uses cookies to ensure you get the best experience on our website. Without cookies your experience may not be seamless.