The Profitability of Intra-Day FX Trading Using Technical Indicators
Created by W.Langdon from
gp-bibliography.bib Revision:1.7954
- @TechReport{Dempster:2000:wp35,
-
author = "M. A. H. Dempster and C. M. Jones",
-
title = "The Profitability of Intra-Day {FX} Trading Using
Technical Indicators",
-
institution = "Judge Institute of Management Studies, University of
Cambridge",
-
year = "2000",
-
type = "Working Paper",
-
number = "35/00",
-
address = "Trumpington Street, Cambridge, CB2 1AG",
-
keywords = "genetic algorithms, genetic programming, high
frequency price data, market prices",
-
broken = "http://www.cfr.statslab.cam.ac.uk/publications/papers.html#2000",
-
broken = "http://hdl.handle.net/10068/583138",
-
URL = "http://mahd-pc.jbs.cam.ac.uk/archive/PAPERS/1999/profitability.pdf",
-
abstract = "Technical analysis indicators are widely used by
traders to predict future price levels and hence
enhance trading profitability. Traders often use high
frequency price (ie. intra-day) data when calculating
such indicators, which are then used as the basis for
trade entry rules. Similar rules, along with standard
exit rules aimed at reducing downside risk, are then
used to exit these trades. In this paper we test a wide
range of well known technical indicators on a set of US
Dollar/British Pound Spot FX tick data from 1989-1997
aggregated to various intra-day frequencies. We find
that few of the rules, whether based on well known and
tested moving average crossover or on some of the more
esoteric and untested indicators, are consistently
profitable when traded under realistic slippage
conditions. Furthermore, we vary the slippage regime to
represent differences in the efficiency of trade
execution eg. between a bank trader and a small hedge
fund but still find the rules to be loss-making. When
the rules are reversed, losses are still found
indicating the losses not to be economically
significant - a result that supports the efficient
market hypothesis.",
-
notes = "CU-JIMS-WP--35/2000",
-
size = "70 pages",
- }
Genetic Programming entries for
Michael Dempster
Chris M Jones
Citations