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 InfoPaper provided by WIFO in its series WIFO Working Papers with number 263.
Length: 27 pages
Date of creation: 09 Dec 2005
Date of revision:
Exchange rate Technical trading;
Other versions of this item:
- Stephan Schulmeister, 2008. "Components of the profitability of technical currency trading," Applied Financial Economics, Taylor & Francis Journals, vol. 18(11), pages 917-930.
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- Stephan Schulmeister, 2005.
"The Interaction between Technical Currency Trading and Exchange Rate Fluctuations,"
WIFO Working Papers
- Schulmeister, Stephan, 2006. "The interaction between technical currency trading and exchange rate fluctuations," Finance Research Letters, Elsevier, vol. 3(3), pages 212-233, September.
- Stephan Schulmeister, 2005. "The Interaction between Technical Currency Trading and Exchange Rate Fluctuations," Finance 0512033, EconWPA.
- Lukas Menkhoff & Mark P. Taylor, 2007.
"The Obstinate Passion of Foreign Exchange Professionals: Technical Analysis,"
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American Economic Association, vol. 45(4), pages 936-972, December.
- Menkhoff, Lukas & Taylor, Mark P., 2006. "The Obstinate Passion of Foreign Exchange Professionals : Technical Analysis," The Warwick Economics Research Paper Series (TWERPS) 769, University of Warwick, Department of Economics.
- Menkhoff, Lukas & Taylor, Mark P., 2006. "The Obstinate Passion of Foreign Exchange Professionals: Technical Analysis," Diskussionspapiere der Wirtschaftswissenschaftlichen FakultÃÂ¤t der Leibniz UniversitÃÂ¤t Hannover dp-352, Leibniz UniversitÃ¤t Hannover, Wirtschaftswissenschaftliche FakultÃ¤t.
- Stephan Schulmeister, 2014. "A General Financial Transactions Tax. Motives, Effects and Implementation According to the Proposal of the European Commission," WIFO Working Papers 461, WIFO.
- Todea, Alexandru & Zoicas Ienciu, Adrian, 2011. "Technical Analysis and Stochastic Properties of Exchange Rate Movements: Empirical Evidence from the Romanian Currency Market," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(1), pages 175-192, March.
- Ülkü, Numan & Prodan, Eugeniu, 2013. "Drivers of technical trend-following rules' profitability in world stock markets," International Review of Financial Analysis, Elsevier, vol. 30(C), pages 214-229.
- Schulmeister, Stephan, 2009.
"Profitability of technical stock trading: Has it moved from daily to intraday data?,"
Review of Financial Economics,
Elsevier, vol. 18(4), pages 190-201, October.
- Stephan Schulmeister, 2008. "Profitability of Technical Stock Trading: Has it Moved from Daily to Intraday Data?," WIFO Working Papers 323, WIFO.
- Christopher J. Neely & Paul A. Weller, 2011. "Technical analysis in the foreign exchange market," Working Papers 2011-001, Federal Reserve Bank of St. Louis.
- Stephan Schulmeister, 2007. "The Interaction Between the Aggregate Behaviour of Technical Trading Systems and Stock Price Dynamics," WIFO Working Papers 290, WIFO.
- 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.
- Stephan Schulmeister, 2007. "Performance of Technical Trading Systems in the Yen/Dollar Market," WIFO Working Papers 291, WIFO.
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