TY - JOUR
T1 - Further evidence on the returns to technical trading rules
T2 - insights from fourteen currencies
AU - Dockery, Everton
AU - Todorov, Ivan
N1 - Funding Information:
We are grateful to the editor of this journal and two anonymous referees for helpful comments and suggestions, which improved the paper's results.
Publisher Copyright:
© 2023 Elsevier B.V.
PY - 2023/9/1
Y1 - 2023/9/1
N2 - This work studies the returns to technical trading rules utilising a sample of 14 currency pairs by applying five trading rules: Filter rules, Trading Range Breakout, Moving Average, and Bollinger bands over varying market conditions. The mixed results indicate that technical analysis based on the applied trading rules is appropriate for the trading strategies examined. The one per cent filter, 150-day MA rule and the Bollinger bands trading rule surpassed the other applied techniques in general performance. What is also clear is that these trading rules are rewarding over varying market conditions. Results from various subperiods, representing normal and stressful market conditions, generally confirm our main findings and show the added value of the trading range breakout rule, which delivers performance in strongly trending markets. Evidence from bootstrap analysis demonstrates the predictive ability of the Moving Average and Bollinger band trading rules.
AB - This work studies the returns to technical trading rules utilising a sample of 14 currency pairs by applying five trading rules: Filter rules, Trading Range Breakout, Moving Average, and Bollinger bands over varying market conditions. The mixed results indicate that technical analysis based on the applied trading rules is appropriate for the trading strategies examined. The one per cent filter, 150-day MA rule and the Bollinger bands trading rule surpassed the other applied techniques in general performance. What is also clear is that these trading rules are rewarding over varying market conditions. Results from various subperiods, representing normal and stressful market conditions, generally confirm our main findings and show the added value of the trading range breakout rule, which delivers performance in strongly trending markets. Evidence from bootstrap analysis demonstrates the predictive ability of the Moving Average and Bollinger band trading rules.
KW - exchange rates
KW - market efficiency
KW - technical analysis
KW - trading rules
KW - trading strategies
UR - http://www.scopus.com/inward/record.url?scp=85167422370&partnerID=8YFLogxK
U2 - 10.1016/j.mulfin.2023.100808
DO - 10.1016/j.mulfin.2023.100808
M3 - Article
AN - SCOPUS:85167422370
SN - 1042-444X
VL - 69
JO - Journal of Multinational Financial Management
JF - Journal of Multinational Financial Management
M1 - 100808
ER -