Trading currencies using moving averages – trend following versus contrarian strategies

Abstract

Moving average trading strategies are examined for trading ten major currencies during the 1997‐2001 time period. Both a traditional trend‐following moving average cross over strategy and a contrarian strategy are tested. Following a simple moving average cross over out performed, on average, the contrarian strategy. However, neither strategy consistently outperformed a simple strategy of holding U.S. dollars during the four‐year test period.

Citation

Dahlquist, J.R. (2005), "Trading currencies using moving averages – trend following versus contrarian strategies", Managerial Finance, Vol. 31 No. 5, pp. 60-66. https://doi.org/10.1108/03074350510769677