Abstract
The aim of this article is to test the profitability of technical trading rules in the intra-day currency futures market. A wide range of technical strategies are applied to tick data over a two-year period for two currency futures—Japanese Yen (JY) and Deutschemark (DM)—traded in the Singapore International Monetary Exchange. The study finds that after incorporating transactions costs and testing for the significance of the profits using a bootstrap methodology, none of the technical trading systems produce significant returns. © 2000 John Wiley & Sons, Inc. Jrl Fut Mark 20:687–704, 2000
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