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I would like to know how I can test the efficiency of Exponential Moving Averages when it comes to forex trading. Can i have any papers that point to the efficiency of this strategy?

Thank you. :)

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  • $\begingroup$ Exponential Moving Average is a form of Low Pass Filter not a "strategy". The question in the current form makes no sense. $\endgroup$ – RoBiK May 6 '13 at 8:54
  • $\begingroup$ I reckon the OP means trading strategies based on signals when moving averages cross either other MAs or the price chart itself - like in Mebane Faber's famous paper. $\endgroup$ – vonjd May 6 '13 at 9:39
  • $\begingroup$ @vonjd, yes, sorry it was in a more incomplete format. I was thinking of using the crossovers as a strategy for trading Bitcoins and wanted a way to backtest the strategy. $\endgroup$ – user5257 May 6 '13 at 10:25
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    $\begingroup$ @user5257: Yet you can accept my answer anyway :-) $\endgroup$ – vonjd May 6 '13 at 12:08
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    $\begingroup$ thank you, was greatly helpful. And @chrisaycock, i dont understand how the Bitcoin question and this overlapped? It was genuine question, maybe the form wasn't sounding particular but vonjd figured out what i was truly asking. The find the whole 'closed' tag quite unfair. $\endgroup$ – user5257 May 6 '13 at 12:14
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Two good starting points are here:

  • Allen, Helen, and Mark Taylor. “The Use of Technical Analysis in the Foreign Exchange Market.” The Journal of International Money and Finance, June 1992, pp. 304-314.
  • Lui, Y.H., and D. Mole. “The Use of Fundamental and Technical Analyses by Foreign Exchange Dealers: Hong Kong Evidence.” The Journal of International Money and Finance, Volume 17, Number 3, 1 June 1998, pp. 535-545.
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