دانلود رایگان مقاله قوانین تجارت فنی FX چگونه سود آور هستند؟

Abstract

This paper provides a comprehensive empirical investigation of the profitability of foreign exchange technical trading rules over the 1996:10–2015:06 period for 22 currencies quoted in US dollars. It reports evidence of profitability across a universe of 113,148 rules that include traditional moving average rules and those constructed on the basis of technical indicators such as Bollinger bands and the relative strength index. The best trading rules achieve annualised returns of up to 30%. The Step-SPA test (Hsu, Hsu, & Kuan, 2010) results show a sharp fall in the total number of rules that are robust to data snooping bias. Virtually no traditional rule is significant in the 2006–2015 sub-sample, in line with the adaptive market hypothesis. By contrast, rules based on new technical indicator such as Bollinger band and relative strength index rules remain robustly profitable across all currencies over the more recent sub-sample.

4. Conclusions

This paper analysed the performance of 113,148 technical trading rules using daily data from 1997 to 2015 for a cross-section of 22 currencies quoted in US dollars. In evaluating the performance of trading rules, it has accounted for interest rate differentials and also controlled for data snooping bias using the Step-SPA test developed by Hsu et al. (2010). This test avoids some of the shortcomings of White's Reality Check test and is able to test for the robustness of all significant trading rules. Our findings suggest that, prior to controlling for data snooping bias, quite large numbers of technical trading rules are significantly profitable and can achieve annualised returns up to 30%. The Step-SPA test results show that the number of robustly signifi- cant trading rules decreases sharply. There is a big divergence in the performance of traditional trading rules and that of newer trading rules based on technical indicators. After controlling for data snooping bias, virtually none of the traditional trading rules is significant with p-values very close to 1. These results are in line with those in the literature suggesting that the performance of traditional trading rules has decreased over the past two decades (LeBaron, 2002; Neely, Weller and Ulrich (2009)). They are also consistent with recent data snooping free investigations of technical trading rules (Kuang et al., 2010; Qi & Wu, 2006). However, the results provide strong evidence that technical indicator rules such as Bollinger bands, RSI and MACD remains robustly profitable. After accounting for interest rate differentials and data snooping, some trading rules remain robustly significant across all currencies and both sub-samples. This applies particularly to the Bollinger band and RSI indicator rules. One direction for future research would be to explore the performance of trading signals generated from a mixture of rules such as a combination of traditional and technical indicator rules.