Forty Years, Thirty Currencies and 21,000 Trading Rules: A Large-Scale, Data-Snooping Robust Analysis of Technical Trading in the Foreign Exchange Market

@article{Hsu2013FortyYT,
  title={Forty Years, Thirty Currencies and 21,000 Trading Rules: A Large-Scale, Data-Snooping Robust Analysis of Technical Trading in the Foreign Exchange Market},
  author={Po-Hsuan Hsu and Mark P. Taylor},
  journal={CEPR Discussion Paper Series},
  year={2013}
}
  • Po-Hsuan Hsu, Mark P. Taylor
  • Published 2013
  • Economics
  • CEPR Discussion Paper Series
We carry out a large-scale investigation of technical trading rules in the foreign exchange market, using daily data over a maximum of forty years for thirty developed and emerging market currencies. Employing a stepwise test to safeguard against data-snooping bias and examining over 21,000 technical trading rules, we find evidence of substantial predictability in both developed and emerging markets, measured against a variety of returns and risk-adjusted performance metrics. We present time… Expand
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