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

We report evidence on the profitability and statistical significance among 2,127 technical trading rules. The best rules are found to be significantly profitable based on standard tests. We then employ White’s (2000) Reality Check to evaluate these rules and find that data-snooping biases do not change the basic conclusions for the full sample. A sub-sample analysis indicates that the data-snooping problem is more serious in the second half of the sample. Profitability becomes much weaker in the more recent period, suggesting that the foreign exchange market becomes more efficient over time. Evidence from cross exchange rates confirms the basic findings.

我们报告了2127种技术交易规则的盈利性及统计显著性的相关证据。基于标准检验，发现最佳规则具有显著的盈利性。然后我们采用怀特（2000）的现实检验来评估这些规则，发现数据探测偏差并没有改变整个样本的基本结论。子样本分析表明，在样本的后半部分数据探测问题更为严重。在较近时期盈利性变得更弱，这表明外汇市场随着时间推移变得更有效率。交叉汇率的证据证实了基本发现。