![]() While Swiss Franc had the best (worse) performance in the monthly (weekly) based model, the Chinese Renminbi witnessed the worse (best) performance in the monthly (weekly) based model. Using an investment horizon over 18 years, the reliance upon the monthly model produced lower maximum drawdowns and lesser trades than the weekly model. ![]() Results are robust tested by decomposing the data into pre and post 2008 financial crisis. Sharpe and Sortino measures are used to track the performance of the currency pairs, based on total risk and downside risk assumptions. The trend-based system is tested onto the most actively traded USD based foreign currency pairs, using both monthly and weekly data set over 2000–2018. The aim of this study is to test a trading system based on the average directional index, which is complemented with the parabolic stop and reverse indicator.
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