Is Technical Analysis in the Foreign Exchange Market Profitable? A Genetic Programming Approach
用遗传编程寻找技术交易规则，发现1981-1995年间六种汇率存在显著的超额收益，且规则在其他市场也有效，收益并非系统性风险补偿。
Using genetic programming techniques to find technical trading rules, we find strong evidence of economically significant out-of-sample excess returns to those rules for each of six exchange rates over the period 1981‐1995. Further, when the dollar/Deutsche mark rules are allowed to determine trades in the other markets, there is significant improvement in performance in all cases, except for the Deutsche mark/yen. Betas calculated for the returns according to various benchmark portfolios provide no evidence that the returns to these rules are compensation for bearing systematic risk. Bootstrapping results on the dollar/Deutsche mark indicate that the trading rules detect patterns in the data that are not captured by standard statistical models.