Technical trading rule profitability in currencies, It’s all about momentum

Mark C. Hutchinson; Panagiotis E.  Kyziropoulos; John O'Brien; Philip O'Reilly; Tripti Sharma

doi:10.1016/j.ribaf.2022.101779

Technical trading rule profitability in currencies, It’s all about momentum

Mark C. Hutchinson, Panagiotis E. Kyziropoulos, John O'Brien, Philip O'Reilly, Tripti Sharma

Queen's Business School (QBS)

Research output: Contribution to journal › Article › peer-review

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Abstract

Recent academic and practitioner attention has focused on currency momentum. In this paper we replicate technical trading rules to assess their relationship with momentum. We find the effectiveness of technical trading rules falls significantly over time, with the mean Sharpe Ratio of our sample of portfolios falling from 0.66 in our in-sample period to 0.06 out-of-sample. Further, the returns do not survive modest transaction costs out-of-sample. We identify time series momentum as the single common factor driving returns across the range of strategies. Any abnormal return generated by technical trading rules is fully explained by time series momentum.

Original language	English
Article number	101779
Journal	Research in International Business and Finance
Early online date	04 Oct 2022
DOIs	https://doi.org/10.1016/j.ribaf.2022.101779
Publication status	Early online date - 04 Oct 2022

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Technical trading rule profitability in currencies, It’s all about momentum
Copyright 2022 Elsevier. This manuscript is distributed under a Creative Commons Attribution-NonCommercial-NoDerivs License (https://creativecommons.org/licenses/by-nc-nd/4.0/), which permits distribution and reproduction for non-commercial purposes, provided the author and source are cited.
Accepted author manuscript, 1.07 MBLicence: CC BY-NC-ND

The future of equity release schemes in the UK
Sharma, T. (Author), French, D. (Supervisor) & McKillop, D. (Supervisor), Dec 2019
Student thesis: Doctoral Thesis › Doctor of Philosophy

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Technical trading rule profitability in currencies, It’s all about momentum

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The future of equity release schemes in the UK

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