Warwick Business School Financial Econometrics Research Centre
Doi
Abstract
This paper examines the out-of-sample performance of intraday technical trading
strategies selected using two methodologies, a genetic program and an optimized linear
forecasting model. When realistic transaction costs and trading hours are taken into account, we
find no evidence of excess returns to the trading rules derived with either methodology. Thus, our
results are consistent with market efficiency. We do, however, find that the trading rules discover
some remarkably stable patterns in the data
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