%0 Journal Article
%A Fernandez-Perez, Adrian
%A Fernández-Rodríguez, Fernando
%A Sosvilla Rivero, Simón Javier
%T Exploiting trends in the foreign exchange markets
%D 2012
%@ 1466-4291
%U https://hdl.handle.net/20.500.14352/42995
%X We offer further evidence on the relevance of technical trading in exchangerate markets using daily data for 95 currencies against the US dollar. To that end, we investigate the profitability of a simple technical trading rule based on Taylor’s (1980) price trend model, generating optimal one-stepahead forecasts of returns using genetic algorithms. These trading rules, that bear similarity to the popular trading rules based on moving averages, overcome the buy-and-hold strategy in 25 of 39 cases where trends are detected, even in the presence of transaction costs.
%~