Chapter 9 Is more always better? Head-and-shoulders and filter rules in foreign exchange markets
The profitability of technical trading strategies such as filter rules and moving averages has been extensively documented in a number of empirical studies. Excess returns based on technical trading rules are documented in the stock market by Brock, Lakonishok, and LeBaron (1992) and in the foreign exchange market by Logue, Sweeney, and Willett (1978), Dooley and Shafer (1984), Sweeney (1986), LeBaron (1991), Levich and Thomas (1993) and LeBaron (1994).
In practice, however, technical traders often take positions in the market based on more complex trading strategies. Typically, these more complex ...