Does frequency matter for intraday technical trading?

- We analyze the impact of trading frequency on profitability of intradaily technical analysis.
- An extraordinary data set: 10 years tick-by-tick data for the RUR/USD.
- We use observed rather than estimated transactions costs: highly time-varying.
- Our results indicate that technical analysis after transaction costs is rarely profitable.
- Profitability only during a period of highly managed exchange rate.

We examine the impact of frequency on the intradaily profitability of more than 8000 technical trading rules using an extensive and unexplored sample of intraday data for the Russian Ruble-US Dollar foreign exchange market. The results indicate that technical trading profits seem much more present on a higher frequency basis. The adjustment for real, rather than estimated transaction costs wipes away most of the profits. However, we do find evidence that technical trading rules applied at a sufficiently high frequency generate superior returns when the central bank conducts a stabilizing exchange rate policy.