RT Journal Article
T1 Exploiting trends in the foreign exchange markets
A1 Fernandez-Perez, Adrian
A1 Fernández-Rodríguez, Fernando
A1 Sosvilla Rivero, Simón Javier
AB 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.
PB Taylor & Francis
SN 1466-4291
YR 2012
FD 2012
LK https://hdl.handle.net/20.500.14352/42995
UL https://hdl.handle.net/20.500.14352/42995
LA eng
NO Ministerio de Ciencia e Innovación (MICINN)
DS Docta Complutense
RD 11 abr 2025