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| Viktor Manahov and Robert Hudson |
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| ''New Evidence of Technical Trading Profitability'' |
| ( 2013, Vol. 33 No.4 ) |
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| We developed profitable foreign exchange forecasts by applying a special adaptive form of the Strongly Typed Genetic Programming (STGP)-based learning algorithm to five-minute high frequency data of six of the most traded currency pairs. We examined the out-of-sample performance of these intraday technical trading models based on STGP and optimised linear forecasting. We found evidence of economically and statistically significant out-of-sample excess returns, after taking into account appropriate transaction costs. |
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| Keywords: Foreign Exchange, Genetic Programming |
JEL: F3 - International Finance: General
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| Manuscript Received : Jul 02 2013 | | Manuscript Accepted : Oct 04 2013 |
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