Trading strategies based on moving averages: an empirical application with high frequency data

Many empirical studies have investigated the profitability of trading strategies based on the technical analysis. Some of them find these strategies profitable while others do not, and this issue is still a topic of debate. In this study I try to test the profitability of trading strategies based on moving averages applied to high frequency data. I build my trading strategies using price data of 1-second intervals. The strategies mainly yield positive returns when transaction costs are not considered. When I account for transaction costs the strategies do not generate positive returns, the presence of transaction costs drives away the profitability.