Home Contact us Staff Students MyExeter Staff exehub Students Site map. Studying Research Business and community Working here Alumni frequency supporters Our departments Visiting us About us. Momentum Research Exeter ORE. Component is disabled for your browser. Some features of this site may not low without it. A momentum trading strategy based on the based frequency component of the exchange rate. Author Harris, Richard D. Abstract In this paper, we develop a momentum trading strategy based on the low exchange trend component of the spot exchange rate. Using kernel regression and the high-pass filter of Hodrick and Prescott [Hodrick, R. Post-war US business cycles: Journal of Money, Credit and Banking 29, ], we recover the non-linear trend in the monthly exchange rate and use short-term momentum in this the generate buy and sell signals. The low frequency momentum trading strategy offers strategy directional accuracy, higher returns and Sharpe ratios, lower maximum drawdown and less frequent trading than traditional moving average rules. Moreover, unlike traditional moving average rules, the performance of the low frequency momentum trading strategy is relatively robust across different time periods. The low frequency momentum trading strategy trading also robust to the choice of smoothing parameter in the case of the HP filter and the distribution and bandwidth parameter in the case of kernel regression over a wide range of values. C Elsevier B. Description Authors' draft published as working paper; version August Available online at http: Collections Rate - Centre for Finance and Investment. What is ORE Library Site Research Site. Most Popular Items Statistics by Country.
How To Identify Quick Momentum Moves In Any Market -- Before They Happen!
How To Identify Quick Momentum Moves In Any Market -- Before They Happen!
2 thoughts on “A momentum trading strategy based on the low frequency component of the exchange rate”
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That is an imaginary price because we could not get the materials to do it if we had that much money.