A comparison of MA and RSI returns with exchange rate intervention

Thomas Shik and Terence Tai Leung Chong

Applied Economics Letters, 2007, vol. 14, issue 5, 371-383

Abstract: This study compares the efficacy of the Relative Strength Index (RSI) vis-a-vis the Moving Average (MA) trading rules on the daily exchange rates of six currencies. The results indicate that the trading rules can yield positive risk-adjusted returns, and the profitability of these trading rules is positively related to central bank interventions. It is also found that the impact of interest rate differentials on the trading rule return is immaterial.

Date: 2007
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Persistent link: https://EconPapers.repec.org/RePEc:taf:apeclt:v:14:y:2007:i:5:p:371-383

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DOI: 10.1080/13504850500426269

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