The Profitability of Intra-Day FX Trading Using Technical Indicators

Created by W.Langdon from gp-bibliography.bib Revision:1.8051

@TechReport{Dempster:2000:wp35,

• author = "M. A. H. Dempster and C. M. Jones",
• title = "The Profitability of Intra-Day {FX} Trading Using Technical Indicators",
• institution = "Judge Institute of Management Studies, University of Cambridge",
• year = "2000",
• type = "Working Paper",
• number = "35/00",
• address = "Trumpington Street, Cambridge, CB2 1AG",
• keywords = "genetic algorithms, genetic programming, high frequency price data, market prices",
• broken = "http://www.cfr.statslab.cam.ac.uk/publications/papers.html#2000",
• broken = "http://hdl.handle.net/10068/583138",
• URL = "http://mahd-pc.jbs.cam.ac.uk/archive/PAPERS/1999/profitability.pdf",
• abstract = "Technical analysis indicators are widely used by traders to predict future price levels and hence enhance trading profitability. Traders often use high frequency price (ie. intra-day) data when calculating such indicators, which are then used as the basis for trade entry rules. Similar rules, along with standard exit rules aimed at reducing downside risk, are then used to exit these trades. In this paper we test a wide range of well known technical indicators on a set of US Dollar/British Pound Spot FX tick data from 1989-1997 aggregated to various intra-day frequencies. We find that few of the rules, whether based on well known and tested moving average crossover or on some of the more esoteric and untested indicators, are consistently profitable when traded under realistic slippage conditions. Furthermore, we vary the slippage regime to represent differences in the efficiency of trade execution eg. between a bank trader and a small hedge fund but still find the rules to be loss-making. When the rules are reversed, losses are still found indicating the losses not to be economically significant - a result that supports the efficient market hypothesis.",
• notes = "CU-JIMS-WP--35/2000",
• size = "70 pages",

}

Genetic Programming entries for Michael Dempster Chris M Jones

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