Technical Trading-Rule Profitability, Data Snooping, and Reality Check: Evidence from the Foreign Exchange Market

By Min Qi, Min Wu. 2005

149 citations recorded by the source corpus.

Subfields: Accounting, Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/5e0bbe09d00f078eeb6b2d431c7be0c0d1ab8cea

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Accounting

1. Lukas Menkhoff
2. Yu‐Chin Hsu
3. Georgios Sermpinis
4. Po-Hsuan Hsu
5. Charalampos Stasinakis
6. Christian L. Dunis
7. Scott H. Irwin
8. Mark P. Taylor

In Economics and Econometrics

1. Lukas Menkhoff
2. G. Kenny
3. V. Genre
4. Aidan Meyler
5. Mark P. Taylor
6. Scott H. Irwin
7. Yu‐Chin Hsu
8. Georgios Sermpinis

In Finance

1. Lukas Menkhoff
2. Mark P. Taylor
3. G. Kenny
4. V. Genre
5. Aidan Meyler
6. Scott H. Irwin
7. Yu‐Chin Hsu
8. Georgios Sermpinis

Citations in the corpus

• Combining expert forecasts: Can anything beat the simple average? (2013, background): “21 See White (2000), Sullivan, Timmermann and White (1999) and Qi and Wu (2006) for further information and practical applications of the reality check.”
• The Profitability of Technical Analysis: A Review (2004, background): “In fact, Qi and Wu (2002) found that when they changed a performance measure from mean returns to mean net returns, the best trading rules selected were rules that generated less frequent trading signals than in case of the mean return criterion.”
• Testing the Predictive Ability of Technical Analysis Using a New Stepwise Test Without Data Snooping Bias (2010, background): “The third one argues that market maturity matters (Ready, 2002; Hsu and Kuan, 2005; Qi and Wu, 2006).”
• Stochastic and genetic neural network combinations in trading and hybrid time-varying leverage effects (2014, background): “Qi and Wu (2006) examine seven foreign exchange rates during 1973–1998 and achieved with simple technical trading rules generate profits from 7.2% to 12.2% after transaction costs.”
• The Obstinate Passion of Foreign Exchange Professionals: Technical Analysis (2007, background): “…been the introduction of the bootstrap approach addressing the problem of insignificant evidence (Levich and Thomas, 1993; LeBaron, 1999, 2000; Osler, 2000, 2003) and, more recently, the introduction of methods for testing for potential data-snooping bias (Park and Irwin, 2005; Qi and Wu, 2006).”