Dueker, Michael; Neely, Christopher J. - Federal Reserve Bank of St. Louis - 2006
at forecast horizons of 1, 5, 10, and 20
business days. The benchmark for comparison is the in-sample mean return.
3 … return, mean trades per year, the percentage of business days the trading
rule was long in the foreign currency, the Sharpe … forecast horizons of 1, 5, 10, and 20 business days. The ratios less than one in
the upper panel of Table 4 show that the …