Trading Profits of Simple Moving Average Strategies for Major Currency Pairs
Trading Profits of Simple Moving Average Strategies for Major Currency Pairs
Files (excerpt)
Published date
2018-05-25
Resource type
Publisher
ISBN
ISSN
DOI
Call no.
Other identifier(s)
Edition
Copyrighted date
Language
eng
File type
application/pdf
Extent
1 page
Other title(s)
Advisor
Other Contributor(s)
Citation
International Conference on Entrepreneurship and Sustainability in the Digital Era ICESDE 2018 Assumption University of Thailand May 25, 2018
Degree name
Degree level
Degree discipline
Degree department
Degree grantor
Abstract
This research studied the effectiveness of simple moving average rules in generating trading profits on
major currency pairs which are AUD, EUR, GBP, NZD, CAD, CHF and JPY during 2013 – 2016. The
test covered 50-Day moving average, 200-Day moving average, 10/50-Day moving average, 10/200-Day
moving average and 50/200-Day moving average. The study revealed that trading based on 10/50-Day
moving average resulted in superior returns, among all trading rules with average return generated for all
currencies during the sample period of 4.21% per year, followed by 50/200-Day moving average with
average return for all currencies of 1.26% per year. In comparison to the return generated from buy and
hold strategy, the study suggested that simple moving average strategies generated higher average return
and reduced the magnitude of trading losses. Given that the study assumed no transaction cost or SWAP
fee, further studies should be conducted on the following areas: 1) comparative analysis of trading profit
generated for ‘in-sample’ and ‘out-of-sample’ datasets, 2) comparative analysis of trading profits after
taking transaction cost into account, and 3) comparative analysis of trading profits between moving
average and other technical trading rules, commonly used by FX Traders.
Table of contents
Description
punsarn.dc.description.sponsorship
Spatial Coverage
Subject(s)
Rights
This work is protected by copyright. Reproduction or distribution of the work in any format is prohibited without written permission of the copyright owner.