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Components of the Profitability of Technical Currency Trading

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Author Info

  • Stephan Schulmeister

    (WIFO)

Abstract

This 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.

(This abstract was borrowed from another version of this item.)

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File URL: http://www.wifo.ac.at/wwa/pubid/25835
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Bibliographic Info

Paper provided by WIFO in its series WIFO Working Papers with number 263.

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Length: 27 pages
Date of creation: 09 Dec 2005
Date of revision:
Handle: RePEc:wfo:wpaper:y:2005:i:263

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Related research

Keywords: Exchange rate Technical trading;

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Citations

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Cited by:
  1. Stephan Schulmeister, 2005. "The Interaction between Technical Currency Trading and Exchange Rate Fluctuations," WIFO Working Papers 264, WIFO.
  2. Lukas Menkhoff & Mark P. Taylor, 2007. "The Obstinate Passion of Foreign Exchange Professionals: Technical Analysis," Journal of Economic Literature, American Economic Association, vol. 45(4), pages 936-972, December.
  3. 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.
  4. 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.
  5. 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.
  6. 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.
  7. Christopher J. Neely & Paul A. Weller, 2011. "Technical analysis in the foreign exchange market," Working Papers 2011-001, Federal Reserve Bank of St. Louis.
  8. Stephan Schulmeister, 2007. "The Interaction Between the Aggregate Behaviour of Technical Trading Systems and Stock Price Dynamics," WIFO Working Papers 290, WIFO.
  9. Stephan Schulmeister, 2008. "Aggregate Trading Behaviour of Technical Models and the Yen-Dollar Exchange Rate 1976-2007," WIFO Working Papers 324, WIFO.
  10. Stephan Schulmeister, 2007. "Performance of Technical Trading Systems in the Yen/Dollar Market," WIFO Working Papers 291, WIFO.

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