Strategies For Trading In Spot Euro-Dollar Market.

      Аннотация: 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.

Ключевые слова: rate of change, Profitability, Return, Oscillator, Exchange Rate, Stock exchange, Euro, Foreign Exchange, Moving average, Exponential Moving Average, forex, Technical Analysis, Ma, Foreign Exchange Market, SMA, Dollar, EMA, forex Market, Buy Signal, Sell Signal, spot exchange rate, euro-dollar, EUR-USD, EUR, USD, currency pair, Trading Rules, trading strategy, trade signals, best performance, trend indicators, simple moving average, linear-weighted moving average, LWMA, ROC, MACD, Bollinger Bands, commodity channel index, CCI