PPT Slide
E) Structure of the rules
1) Rules were usually too complex to analyze by hand but those that
were understandable had extrapolative features.
2) The 55th best $/DM rule over the selection period, whose excess return was 7.34, number of trades was 37 and correlation with the median rule was 0.9911, prescribed: "Take a long position if the four-day minimum of the normalized exchange rate is greater than one."
2) The 55th best $/DM rule over the selection period, whose excess return was 7.34, number of trades was 37 and correlation with the median rule was 0.9911, prescribed: "Take a long position if the four-day minimum of the normalized exchange rate is greater than one."
F) Rules trained on $/DM data proved profitable on other exchange
rates, out of sample.
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