Spurious Regressions in Technical Trading: Momentum or Contrarian?
This 2008 paper studies momentum and trend following in currencies. The abstract mentions t-statistics but not a benchmark, an out-of-sample test, transaction costs, multiple testing or the size of the universe.
“Against economic intuition, the simulation result shows that, even if past information has non predictive power, buy or sell signals based on the difference between the short-period and long-period moving averages of past asset prices can be statistically significant when the forecast horizon is relatively long.”
AssetCurrenciesindices, currency pairs
StrategyMomentumshort-term reversal
Claimt-statistic
InputsPrice 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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