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Strategies For Trading In Spot Euro-Dollar Market

Strategies For Trading In Spot Euro-Dollar Market

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Описание
This study is an empirical analysis on technical trading rules utilizing spot euro-dollar hourly exchange rates over a period from May 07, 2010 till October 19, 2011. This time period includes 9096 observations over approximately 1 year and 5 months. The study presents a comprehensive study of performance across popular Trend Indicators (Simple Moving Average, Linear-Weighted Moving Average, Exponential Moving Average, Bollinger Bands, and the Commodity Channel Index) and Oscillators (the Rate of Change, and Moving Average Convergence-Divergence). In total, 369 trading rules of different time length are analyzed. The results indicate a list of trading rules which significantly outperform ‘buy-and-hold’ strategy as well as characteristics important for traders such as average duration of one trade, standard deviations of buy and sell signals, number of winning buys and sells, average profitability of one trade, etc.