Why Trade an Unpredictable FX Market?

Why Trade an Unpredictable FX Market?

• Autor
• Augusto César de Freitas Gurgel
• Co-autores
• Alex Luiz Ferreira
• Resumo

• This paper asks whether high-frequency technical trading rules generate statistically

  robust and economically meaningful net returns in the Brazilian real/U.S. dollar

  futures market, and whether such profits can be reliably exploited ex ante. Using

  transaction-level data for U.S. dollar futures (DOL) traded on B3, we evaluate 31,986

  candidate rules per horizon at five intraday aggregation levels under Stepwise Superior

  Predictive Ability inference, with explicit transaction costs and strict day-trading

  constraints. Significant rules peak at 774 at the 60-second horizon, with median

  annualized excess returns reaching 49.74% and Sharpe ratios exceeding 4 among

  selected rules. Rule significance is state-dependent, consistent with a model in which

  episodic predictability arises from a latent directional component that dissipates at

  longer horizons. Despite this in-sample evidence, fewer than 4% of significant rules

  retain significance out of sample, supporting a conditional-viability interpretation:

  profitable rules exist, but identifying and applying them ex ante remains elusive.

• Palavras-chave
• technical rules, day trade, high-frequency, forecast, exchange rates
• Modalidade
• Comunicação oral
• Área Temática
• Engenharia Financeira

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