Profitability of Technical Currency Speculation. The Case of Yen-Dollar Trading 1976-2007
AbstractThe paper investigates the profitability of 1,024 moving average and momentum models and their components in the yen-dollar market. It turns out that all models would have been profitable between 1976 and 2007. The models produce more single losses than single profits. At the same time, the size of the single profits is on average much higher than the size of single losses because profitable positions last two to six times longer than unprofitable positions. Hence, the profitability of technical currency trading is exclusively due to the exploitation of persistent exchange rate trends. These results hold also when technical trading is examined over subperiods. The models which perform best over the most recent subperiod are in most cases significantly profitable also ex ante. However, the profitability of technical currency trading based on daily data has declined since the mid 1990s, and it has disappeared since 2000.
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Bibliographic InfoPaper provided by WIFO in its series WIFO Working Papers with number 325.
Length: 23 pages
Date of creation: 10 Jul 2008
Date of revision:
Exchange rate; Technical trading; Speculation;
This paper has been announced in the following NEP Reports:
- NEP-ALL-2008-09-05 (All new papers)
- NEP-IFN-2008-09-05 (International Finance)
- NEP-MON-2008-09-05 (Monetary Economics)
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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.
- 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.
- 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.
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