publication . Article . Research . Other literature type . 2008

Components of the Profitability of Technical Currency Trading

Stephan Schulmeister;
Open Access
  • Published: 01 Jun 2008 Journal: SSRN Electronic Journal (eissn: 1556-5068, Copyright policy)
  • Publisher: Elsevier BV
Abstract
This paper investigates the sources of the profitability of 1024 moving average and momentum models when trading in the German mark (euro)/U.S. dollar market based on daily data. The main results are as follows. First, each of these models would have been profitable over the entire sample period. Second, this profitability is exclusively due to the exploitation of persistent exchange rate trends. Third, these results do not change substantially when trading is examined within subperiods. Fourth, the 25 best performing models in each in-sample period examined were profitable also out of sample in most cases. Fifth, the profitability of technical trading the Germa...
Subjects
free text keywords: Economics and Econometrics, Finance, F31, G14, G15, Technical trading, Währungsspekulation, Deutsche Mark, US-Dollar, Informationseffizienz, Schätzung, Algorithmic trading, computer.software_genre, computer, Exchange rate, Liberian dollar, Monetary economics, Profitability index, Technical analysis, Out of sample, German, language.human_language, language, Macroeconomics, Economics, Currency, ddc:330
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