Posted was Harris & Yilmaz 2008, as below. Mr Surf mentioned he didn't see a link, which was strictly true -- Mr Makloda attached the paper itself rather than linking to it. The paper is of possible interest and does include data thru early 2008 (quite fresh for SSRN material) and thanks are due Mr Makloda for bringing it to our attention. One quirk -- the authors use monthly (!?) data, as below -- an odd choice in this day and age. Certainly impairs the paper's relevance to what real-life trendfollowers do. A Momentum Trading Strategy Based on the Low Frequency Component of the Exchange Rate Richard D.F. Harris University of Exeter Fatih Yilmaz Bank of America Paper Number: 08/04 August 2008 .... 3. Data and methodology Data The moving average and low frequency momentum trading strategies are applied to monthly data on the G10 ex-USD currencies (EUR, JPY GBP, CHF, SEK, NOK, AUD, CAD and NZD) measured against the USD. ....
What the F? How perverted. Just another old retired woodie gummy type polluting resl trader threads with stupid statements. This site is a joke Random statements. Deck out the gummy woodie site for more trading humor
Why doesn't a simple add to the ignore list suffice? I don't know how you guys have the patience or time for this. After playing with the clowns/trolls for a few rounds of rebukes, doesn't it get old?
Bills come monthly. Bills are paid monthly. If you are reading anything more into that than that, you have a problem. We already know you have no sense of humor.
Facts are the study you posted uses monthly data. must be ultra long term trends being analysed. imagine the drawdowns with that type of strategy, just like buy/sell hold and hope. of course if you GUESS direction right and can withstand massive drawdowns that may or may not recover, buy/sell hold AKA trend following can actually work.... surf
http://www.superfund.com/HP07/TVChannel.aspx?Menu=&Sub=&Third=&ParentId=&TVId=57 it's "investor", not "inwestor"