文章基本信息

标题：New Evidence of Technical Trading Profitability
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作者：Viktor Manahov ; Robert Hudson
期刊名称：Economics Bulletin
电子版ISSN：1545-2921
出版年度：2013
卷号：33
期号：4
页码：2493-2503
出版社：Economics Bulletin
摘要：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.
关键词：Foreign Exchange; Genetic Programming