PPT Slide
IV) “Is Technical Analysis in the Foreign Exchange Market
Profitable? A Genetic Programming Approach”
Neely, Weller and Dittmar (1997)
A) The data: daily exchange rates and interest rates. $/DM, $/¥,
$/£, $/SF, DM/¥ and £/SF
1) Normalized by a 250-day moving average
B) The fitness criterion is the excess return over borrowing in one
currency and investing in the other, each day.
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