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Trading Profits of Simple Moving Average Strategies for Major Currency Pairs

by Panwichit, K.; Sethjinda, P.; Boonchuaymetta, E.

Title:

Trading Profits of Simple Moving Average Strategies for Major Currency Pairs

Author(s):

Panwichit, K.
Sethjinda, P.
Boonchuaymetta, E.

Issued date:

2018-05-25

Citation:

International Conference on Entrepreneurship and Sustainability in the Digital Era ICESDE 2018 Assumption University of Thailand May 25, 2018

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.

Keyword(s):

Foreign exchange
Technical analysis
Simple moving average

Resource type:

Conference Paper

Extent:

1 page

Type:

Text

File type:

application/pdf

Language:

eng

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.

Rights holder(s):

Assumption University

URI:

http://repository.au.edu/handle/6623004553/21154
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Copyright © Assumption University.
All Rights Reserved.

Contact Us

The St. Gabriel's Library   
Hua Mak Campus  
Ramkhamhaeng 24, Hua Mak  
Bangkok Thailand 10240  
Tel.: (662) 3004543-62 Ext. 3402  
Fax.: (662) 7191544  
E-Mail Library : library@au.edu  


The Cathedral of Learning Library
Suvarnabhumi Campus
Bang Na-Trad Km. 26 Bangsaothong
Samuthprakarn Thailand 10540
Tel.: (662) 7232024, 7232025
Fax.: (662) 7191544
E-Mail Library : library@au.edu
 

 

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