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Trend-Following Strategies in Currency Markets by Rikers11 is a document available to read on EtoBox.

What is Trend-Following Strategies in Currency Markets about?

The document discusses using simulations to analyze the statistical factors that influence the performance of trend-following strategies in currency markets. It simulates 22,000 currency exchange rate series with variations in four statistical moments: drift, volatility, skew, and kurtosis. It introduces a measure of trading frequency (Tfreq) to categorize the profitability of different path types for a trend model. The simulations show a strong correlation between higher Tfreq (more frequent trading) and l

Author

Rikers11

Language

EN