Components of the profitability of technical currency trading
AbstractThis paper investigates the sources of the profitability of 1024 technical models when trading in the German mark (euro)/U.S. dollar market. 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 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 currency trading has been declining since the late 1980s.
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Bibliographic InfoArticle provided by Taylor and Francis Journals in its journal Applied Financial Economics.
Volume (Year): 18 (2008)
Issue (Month): 11 ()
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Web page: http://www.tandf.co.uk/journals/routledge/09603107.html
Other versions of this item:
- Stephan Schulmeister, 2005. "Components of the Profitability of Technical Currency Trading," WIFO Working Papers 263, WIFO.
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- Stephan Schulmeister, 2008.
"Aggregate Trading Behaviour of Technical Models and the Yen-Dollar Exchange Rate 1976-2007,"
WIFO Working Papers
- Schulmeister, Stephan, 2009. "Aggregate trading behaviour of technical models and the yen/dollar exchange rate 1976-2007," Japan and the World Economy, Elsevier, vol. 21(3), pages 270-279, August.
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- Stephan Schulmeister, 2007. "Performance of Technical Trading Systems in the Yen/Dollar Market," WIFO Working Papers 291, WIFO.
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"Profitability of technical stock trading: Has it moved from daily to intraday data?,"
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- Stephan Schulmeister, 2008. "Profitability of Technical Stock Trading: Has it Moved from Daily to Intraday Data?," WIFO Working Papers 323, WIFO.
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