Can Technical Trading Beat the Foreign Exchange Market in times of Crisis?
Yamani (2018) studies momentum and trend following in currencies over 2007–2008. The abstract mentions profits and t-statistics but not a benchmark, an out-of-sample test, transaction costs, multiple testing or the size of the universe.
“The overall findings reveal that these technical indicators could produce statistically significant and economically sizeable profitability improvement during the crisis period (compared to before and after the crisis).”
AssetCurrenciescurrency pairs
StrategyMomentum
GeographyGlobalEmerging markets
Sample window2007–2008
Also stated: Profit, t-statistic, Price and volume
Missing from abstract: benchmark, out-of-sample test, costs, multiple testing, universe
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The paper's neighbourhoodMomentum and trend following by year
The family is counted across the whole universe. Asset, method and authors are counted inside the family.
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