Momentum and trend following trading strategies for currencies revisited : combining academia and industry

摘要: Momentum trading strategies are thoroughly described in the academic literature and used many by hedge funds, asset managers, proprietary traders. Baz et al. (2015) describe a momentum strategy for different classes great detail from practitioner’s point of view. Using geometric Brownian Motion dynamics returns financial instruments, we extensively explain motivation background behind each step strategy. Constants parameters that practical implementation derived theoretical setting deviations those shown. The signal is computed as mixture exponential moving averages with time horizons. We give statistical justification optimal selection Furthermore, test our approach on global currency markets, including G10 currencies, emerging market cryptocurrencies. Both series portfolio cross-sectional considered. find works best traditional fiat currencies when considering based For cryptocurrencies, more suitable. exhibits higher Sharpe ratios volatile currencies. Thus, cryptocurrencies have better performances than This first comprehensive study showing both underlying reasons how such constructed industry well empirical results using large universe