We offer further evidence on the relevance of technical trading in exchange-rate 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 (198020. Taylor, S. 1980. Conjectured models for trends in financial prices, tests and forecasts. Journal of the Royal Statistical Society, Series A , 13: 338-62. [CrossRef], [Web of Science ®]View all references) price trend model, generating optimal one-step-ahead 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.View full textDownload full textKeywordsexchange rates, price trend model, genetic algorithms, trading rulesJEL ClassificationC53, F31, G14Related var addthis_config = { ui_cobrand: "Taylor & Francis Online", services_compact: "citeulike,netvibes,twitter,technorati,delicious,linkedin,facebook,stumbleupon,digg,google,more", pubid: "ra-4dff56cd6bb1830b" }; Add to shortlist Link Permalink http://dx.doi.org/10.1080/13504851.2011.589801
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机译：我们使用95种货币对美元的每日数据，提供了有关汇率市场中技术交易的相关性的进一步证据。为此，我们研究基于泰勒（198020.泰勒，S. 1980.金融价格趋势，检验和预测的推测模型的简单技术交易规则的获利。皇家统计学会杂志，系列A，13： 338-62。[CrossRef]，[Web of Science®]查看所有参考）价格趋势模型，使用遗传算法生成最优的提前一步的收益预测。这些与基于移动平均线的流行交易规则相似的交易规则在39个案例中有25个克服了购买和持有策略，即使在存在交易成本的情况下，也可以检测到趋势。查看全文下载全文关键字汇率，价格趋势模型，遗传算法，交易规则JEL分类C53，F31，G14更多”，发布号：“ ra-4dff56cd6bb1830b”};添加到候选列表链接永久链接http://dx.doi.org/10.1080/13504851.2011.589801
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