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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