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Is Technical Analysis in the Foreign Exchange Market Profitable? A Genetic Programming Approach
- Journal of Financial and Quantitative Analysis
, 1997
"... The views expressed are those of the individual authors and do not necessarily reflect official positions of the Federal Reserve Bank of St. Louis, the Federal Reserve System, or the Board of Governors. Federal Reserve Bank of St. Louis Working Papers are preliminary materials circulated to stimulat ..."
Abstract
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Cited by 95 (11 self)
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The views expressed are those of the individual authors and do not necessarily reflect official positions of the Federal Reserve Bank of St. Louis, the Federal Reserve System, or the Board of Governors. Federal Reserve Bank of St. Louis Working Papers are preliminary materials circulated to stimulate discussion and critical comment. References in publications to Federal Reserve Bank of St. Louis Working Papers (other than an acknowledgment that the writer has had access to unpublished material) should be cleared with the author or authors. Photo courtesy of The Gateway Arch, St. Louis, MO. www.gatewayarch.com
The Predictive Power of “Head-and-Shoulders ” Price Patterns in the U.S. Stock Market Gene Savin†
, 2003
"... We use the pattern recognition algorithm of Lo et al. (2000) with some modifications to determine whether “head-and-shoulders ” price patterns have predictive power for future stock returns. The modifications include the use of filters based on typical price patterns identified by a technical analys ..."
Abstract
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We use the pattern recognition algorithm of Lo et al. (2000) with some modifications to determine whether “head-and-shoulders ” price patterns have predictive power for future stock returns. The modifications include the use of filters based on typical price patterns identified by a technical analyst. With data from the S&P 500 and the Russell 2000 over the period 1990-1999 we find strong evidence that the pattern had power to predict excess returns. Risk-adjusted excess returns to a trading strategy conditioned on “head-and-shoulders ” price patterns are 7-9 percent per year.
