Cialenco, Igor; Protopapadakis, Aris - In: Journal of International Financial Markets, … 21 (2011) 2, pp. 176-206
We examine the in- and out-of-sample behavior of two popular trading systems, Alexander and Double MA filters, for 14 developed-country currencies using daily data with bid-ask spreads. We find significant in-sample returns in the early periods. But out-of-sample returns are lower and only...