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Viktor Manahov and Robert Hudson
''New Evidence of Technical Trading Profitability''
( 2013, Vol. 33 No.4 )
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.
Keywords: Foreign Exchange, Genetic Programming
JEL: F3 - International Finance: General
Manuscript Received : Jul 02 2013 Manuscript Accepted : Oct 04 2013

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