Technical Analysis in Foreign Exchange Markets: Evidence from the EMS
作者： Fernando Fernández Rodríguez , Simón Javier Sosvilla Rivero , Julián Andrada Félix
DOI: 10.2139/SSRN.286152
关键词:
摘要: In this paper we assess the economic significance of nonlinear predictability EMS exchange rates. To that end, and using daily data for nine currencies covering 1st January 1978-31st December 1994 period, consider nearest-neighbour predictors, transforming their forecasts into a technical trading rule, whose profitability has been evaluated against traditional moving average rules, considering both interest rates transaction costs. Our results suggest in most cases, rule based on predictor outperforms average, terms returns ideal profit Sharpe ratio indicators.
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