Illusory profitability of technical analysis in emerging foreign exchange markets
نویسندگان
چکیده
Weconduct an extensive examination of the profitability of technical analysis in ten emerging foreign exchange markets. Studying 25,988 trading strategies for emerging foreign exchangemarkets, we find that the best rules can sometimes generate an annualmean excess return of more than 30%. Based on standard tests, we find hundreds to thousands of seemingly significant profitable strategies. However, almost all of these profits vanish once the data snooping bias is taken into account. Overall, we show that the profitability of technical analysis is illusory. © 2013 International Institute of Forecasters. Published by Elsevier B.V. All rights reserved.
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