Macroeconomic conditions and technical trading profitability in foreign exchange markets

Ann Owen and Brent Palmer

Applied Economics Letters, 2012, vol. 19, issue 12, 1107-1110

Abstract: We simulated portfolios for a momentum trading strategy in the foreign exchange market and investigated the determinants of its profitability. We found that the profits exhibited a downward trend in all nine countries that we examined, but that this trend may be somewhat explained by declining exchange rate volatility and to a greater extent by declining rates of inflation. We did not find similar evidence about the effects of fiscal policy or openness.

Date: 2012
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DOI: 10.1080/13504851.2011.615723

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