Abstract
In this paper, we present new evidence on the profitability and statistical significance of technical trading rules in the foreign exchange market. We utilize a new data base, currency futures contracts for the period 1976–1990, and we implement a new testing procedure based on bootstrap methodology. Our results suggest that simple technical trading rules have very often led to profits that are highly unusual. Splitting the entire sample period into three 5-year periods reveals that on average the profitability of some trading rules declined in the latest period although profits remained positive (on average) and significant in many cases. ( JEL F31, F47, G15).
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