Skip to main content
Article thumbnail
Location of Repository

Intraday technical trading in the foreign exchange market

By Christopher J. Neely and Paul A. Weller


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

Topics: HG, QA
Publisher: Warwick Business School Financial Econometrics Research Centre
Year: 1999
OAI identifier:

Suggested articles


  1. (1975). Adaptation in Natural and Artificial Systems, doi
  2. (1973). Analysis of short-run exchange rate behavior:
  3. (1986). Beating the foreign exchange market.” doi
  4. (1998). Do Technical Trading Rules Generate Profits? Conclusions from the Intra-Day Foreign Exchange doi
  5. (1992). Genetic Programming: On the Programming of Computers by Means of Natural Selection, doi
  6. (1995). Head and Shoulders: Not Just a Flaky Pattern.” Staff Papers No. 4, Federal Reserve Bank of doi
  7. (1997). International Money and Finance, Fifth Edition, doi
  8. (1991). Intra-day and inter-market volatility in foreign exchange rates,” doi
  9. (1997). Is Technical Analysis in the Foreign Exchange Market Profitable? A Genetic Programming Approach." doi
  10. (1999). Macroeconomic Implications of the Beliefs and Behavior of Foreign Exchange doi
  11. (1998). Profits and Position Control: A Week of FX doi
  12. (1998). Profits from Technical Trading Rules," doi
  13. (1992). Simple Technical Trading Rules and the Stochastic Properties of Stock Returns," doi
  14. (1999). Technical Trading Rules in the European Monetary System." doi
  15. (1993). The Significance of Technical Trading Rule Profits in The Foreign Exchange Market: A Bootstrap Approach.” doi
  16. (1992). The use of technical analysis in the foreign exchange market.” doi
  17. (1993). Trading Patterns and Prices in the Interbank Foreign Exchange doi
  18. (1998). Using Genetic Algorithms to Find Technical Trading Rules,"

To submit an update or takedown request for this paper, please submit an Update/Correction/Removal Request.