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III. OBJECTIVES
1. To identify impact of time frame and
technical indicators in making profit from all nine
currency pairs in the foreign exchange market.
2. To assess the Time frame and technical
indicators in determining the risk adjusted returns
from trading currency pairs
A. Risk Adjusted Return of EURUSD currency
pair
TABLE I shows the Sharpe ratio for trading
in EURUSD currency pair in different time frame
with various technical indicators.
As shown in the table the Sharpe ratio is
higher for trading this currency pair in 15 minutes
times with RSI indicator. Similarly, Sharpe ratio is
9
5
Minu
tes
15
Minu
tes
30
Minut
es
1
Hou
r
4
Hou
rs
0.039
0.109
0.086
0.05
5
0.09
1
0.06
8
Leading
Indicators
RSI
Stochast
ic
Oscillator
0.045
0.142
0.108
0.12
2
CCI
0.107
0.138
0.172
0.11
0
0.02
5
William
s %R
0.152
0.103
0.349
0.05
8
0.11
2
Moment
um
0.117
0.137
0.034
0.05
6
0.03
3
Leading
all
0.092
0.126
0.150
0.08
0
0.06
6
Lagging
Indicators
Bollinge
r Bands
0.069
0.108
0.063
0.13
1
0.09
5
Paraboli
c SAR
0.051
0.078
0.034
0.05
3
0.02
2
MACD
0.049
0.111
0.084
0.13
8
0.07
7
Lagging
all
0.056
0.099
0.060
0.10
7
0.06
4
Overall
0.079
0.116
0.116
0.09
0
0.06
5
Time Frame
5
Minut
es
15
Minut
es
30
Minut
es
1
Hou
r
4
Hou
rs
RSI
0.341
0.329
0.318
0.48
2
0.63
0
Stocha
stic
Oscillato
r
0.118
0.629
0.276
0.40
0
0.48
1
CCI
0.366
0.605
0.240
0.36
7
1.21
7
Willia
ms %R
0.328
0.195
0.122
0.25
9
0.47
1
Mome
ntum
0.278
0.611
0.270
0.30
2
0.03
6
Leading
0.286
0.474
0.245
0.36
0.56
Leading
Indicator
s
10
all
Lagging
Indicator
s
Bollin
ger
Bands
Parabo
lic SAR
MAC
0.362
0.341
0.189
0.297
0.819
0.64
8
1.27
7
0.848
0.79
0
0.11
0
0.03
0
0.833
0.262
0.270
0.76
4
Lagging
all
0.512
0.423
0.472
0.73
4
0.47
2
Overall
0.371
0.455
0.330
0.50
1
0.53
2
Time Frame
5
Minut
es
15
Minut
es
30
Minut
es
1
Hou
r
4
Hou
rs
RSI
0.053
0.050
0.047
0.08
2
0.02
8
Stocha
stic
Oscillato
r
0.090
0.076
0.070
0.10
9
0.09
0
Leading
Indicator
s
CCI
0.057
0.109
0.075
0.10
9
0.03
1
Willia
ms %R
0.088
0.085
0.078
0.08
0
0.09
9
Mome
ntum
0.078
0.075
0.074
0.07
2
0.08
8
Leading
all
0.073
0.079
0.069
0.09
0
0.06
7
Bollin
ger
Bands
0.086
0.093
0.041
0.07
6
0.10
5
Parabo
lic SAR
0.053
0.047
0.047
0.07
3
0.03
0
0.067
0.074
0.074
0.08
1
0.08
6
Lagging
all
0.068
0.071
0.054
0.07
7
0.07
4
Overall
0.071
0.076
0.063
0.08
5
0.07
0
Lagging
Indicator
s
MAC
D
11
Time Frame
5
Minut
es
15
Minut
es
30
Minut
es
1
Hou
r
4
Hou
rs
0.036
0.091
0.089
0.03
7
0.05
7
0.098
0.093
0.096
0.05
8
0.08
7
Lagging
all
0.064
0.081
0.087
0.05
8
0.06
0
Overall
0.063
0.074
0.077
0.06
2
0.05
9
MAC
D
TABLE 5
Sharpe Ratio of AUDUSD Currency Pair
Technic
al
Indicato
r
Leading
Indicator
s
RSI
0.036
0.043
0.039
0.05
0
0.05
7
Stocha
stic
Oscillato
r
0.065
0.089
0.119
0.08
3
0.05
7
CCI
0.058
0.04
7
0.04
0
0.050
0.067
Willia
ms %R
0.060
0.072
0.039
0.05
2
0.05
2
Mome
ntum
0.091
0.092
0.088
0.09
1
0.08
9
Leading
all
0.062
0.069
0.070
0.06
5
0.05
9
Lagging
Indicator
s
Bollin
ger
Parabo
lic SAR
Bands
0.058
0.059
0.078
0.08
0
0.03
7
Time Frame
5
Minut
es
15
Minut
es
30
Minut
es
1
Hou
r
4
Hou
rs
RSI
0.447
0.928
1.046
1.04
6
0.06
9
Stocha
stic
Oscillato
r
0.220
1.194
0.068
0.15
8
0.13
0
CCI
0.976
1.194
1.468
1.13
5
0.06
8
Willia
ms %R
0.053
1.224
0.313
1.13
5
0.02
7
Mome
ntum
0.251
0.155
1.468
1.13
5
1.41
9
Leading
all
0.390
0.939
0.873
0.92
2
0.34
2
Leading
Indicator
s
Lagging
12
Indicator
s
Bollin
ger
Bands
0.063
0.051
0.215
0.18
6
0.26
2
Parabo
lic SAR
0.895
0.894
1.194
1.46
8
0.18
9
0.442
0.445
0.430
0.26
3
0.00
0
Lagging
- all
0.467
0.463
0.613
0.63
9
0.15
0
Overall
0.418
0.760
0.775
0.81
6
0.27
0
MAC
D
Time Frame
5
Minut
es
15
Minut
es
30
Minut
es
1
Hou
r
4
Hou
rs
RSI
0.058
0.055
0.054
0.06
9
0.06
0
Stocha
stic
Oscillato
r
0.083
0.056
0.068
0.06
5
0.09
6
CCI
0.084
0.078
0.070
0.06
9
0.07
8
Willia
ms %R
0.085
0.091
0.084
0.11
3
0.08
5
Mome
ntum
0.080
0.055
0.066
0.05
4
0.05
0
Leading
all
0.078
0.067
0.069
0.07
4
0.07
4
Bollin
ger
Bands
0.103
0.102
0.085
0.09
1
0.07
4
Parabo
lic SAR
0.134
0.146
0.041
0.14
5
0.19
5
0.135
0.057
0.056
0.07
0
0.03
2
Lagging
- all
0.124
0.102
0.061
0.10
2
0.10
0
Overall
0.095
0.080
0.066
0.08
4
0.08
4
Leading
Indicator
s
Lagging
Indicator
s
MAC
D
13
Time Frame
5
Minut
es
15
Minut
es
30
Minut
es
1
Hou
r
4
Hou
rs
RSI
0.018
0.017
0.016
0.09
9
0.10
4
Stocha
stic
Oscillato
r
0.093
0.119
0.114
0.08
2
0.04
6
CCI
0.085
0.129
0.08
5
0.11
1
0.10
4
Leading
Indicator
s
0.062
Willia
ms %R
0.105
0.069
0.083
0.07
4
Mome
ntum
0.080
0.072
0.088
0.06
4
0.09
2
Leading
all
0.076
0.068
0.086
0.08
1
0.09
1
Lagging
Indicator
s
Bollin
ger
Bands
0.134
Parabo
lic SAR
0.017
MAC
D
0.052
0.154
0.072
0.091
0.170
0.019
0.016
0.00
0
0.00
0
0.04
8
0.03
0
0.09
0
0.12
5
Lagging
- all
0.068
0.105
0.068
0.04
6
0.05
2
Overall
0.073
0.082
0.079
0.06
8
0.07
6
Time Frame
5
Minut
es
15
Minut
es
30
Minut
es
1
Hou
r
4
Hou
rs
RSI
0.066
0.066
0.064
0.09
2
0.07
2
Stocha
stic
Oscillato
r
0.139
0.059
0.095
0.04
4
0.09
7
CCI
0.220
0.162
0.194
0.10
5
0.02
1
Willia
ms %R
0.047
0.061
0.076
0.16
2
0.02
1
Mome
ntum
0.057
0.068
0.118
0.19
1
0.16
7
Leading
Indicator
s
14
Leading
all
0.106
0.083
0.109
0.11
9
Lagging
Indicator
s
Bollin
ger
Bands
0.067
0.056
0.069
0.05
7
0.07
5
Parabo
lic SAR
0.066
0.197
0.064
0.09
7
0.07
3
0.068
0.11
9
0.23
4
MAC
D
0.191
0.067
Lagging
- all
0.108
0.107
0.067
0.09
1
0.12
7
Overall
0.107
0.092
0.094
0.10
9
0.09
5
Table 9
0.07
6
Time Frame
5
Minut
es
15
Minut
es
30
Minut
es
1
Hou
r
4
Hou
rs
RSI
0.287
2.447
0.099
11.7
23
0.24
6
Stocha
stic
Oscillato
r
0.287
0.238
0.194
0.13
8
0.02
4
CCI
0.333
2.297
0.105
9.95
3
0.05
6
Willia
ms %R
0.106
0.209
0.058
0.22
3
0.04
6
Mome
ntum
0.261
2.447
0.298
0.04
8
0.22
3
Leading
all
0.255
1.528
0.151
8.86
3
0.11
9
Bollin
ger
Bands
2.459
0.222
0.143
0.24
2
0.14
0
Parab
olic
SAR
0.103
0.335
2.398
0.63
4
0.12
9
2.398
0.777
0.186
0.05
5
0.08
0
Lagging
all
1.653
0.445
0.909
0.31
0
0.11
6
Overall
0.779
1.122
0.435
5.65
6
0.11
8
Leading
Indicator
s
Lagging
Indicator
s
MAC
D
15
SD
USDC Mea
HF
n
SD
USDJ
PY
SD
AUD
USD
Mea
n
Mea
n
SD
EURG Mea
BP
n
SD
EURJ
PY
Mea
n
SD
NZDU Mea
SD
n
SD
USDC Mea
AD
n
SD
Overal Mea
l
n
Table 10
Curre
ncy
Pair
Estimated
Values
EURU Mea
SD
n
SD
GBPU Mea
SD
n
5
Minu
tes
15
Minu
tes
30
Minu
tes
1
Hou
r
4
Ho
urs
0.079
0.116
0.115
0.09
1
0.06
5
0.042
0.022
0.105
0.03
7
0.03
4
0.50
1
0.53
3
0.455
0.331
0.238
0.218
0.073
0.075
0.063
0.018
0.020
0.014
0.065
0.073
0.079
0.021
0.021
0.028
0.418
0.758
0.775
0.353
0.479
0.581
0.094
0.083
0.066
0.025
0.032
0.016
0.074
0.081
0.080
0.040
0.039
0.057
0.109
0.094
0.094
0.066
0.054
0.044
0.780
1.123
0.436
1.022
1.075
0.797
0.229
0.317
0.227
0.419
0.525
0.396
0.20
7
0.49
6
0.08
5
0.07
1
0.01
6
0.03
5
0.06
3
0.06
1
0.01
8
0.02
0
0.81
5
0.27
1
0.52
2
0.47
2
0.08
3
0.08
4
0.03
0
0.05
2
0.06
6
0.07
5
0.03
1
0.04
3
0.10
8
0.09
4
0.04
9
0.07
3
5.65
5
0.11
9
10.0
59
0.08
2
0.83
0
0.15
3
3.60
8
0.26
5
SD Standard Deviation
Time Frame
0.371
SD
0.202
16
EURJPY Mean
0.050
0.091
0.094
0.087
0.079
0.046
0.029
0.026
0.016
0.011
0.072
0.087
0.140
0.074
0.120
0.012
0.037
0.079
0.054
0.059
5.006
0.176
4.949
0.129
0.655
SD
9.523
0.101
9.551
0.083
1.006
Mean
0.721
0.159
0.781
0.167
0.260
SD
3.265
0.197
3.262
0.240
0.466
SD
NZDUSD Mean
SD
USDCAD Mean
Overall
USDJPY Mean
SD
AUDUS
Mean
D
SD
EURGB
Mean
P
SD
Bollinger Bands
0.391
0.134
0.205
0.438
Currency Pair
N
0.052
0.087
0.076
0.086
0.019
0.015
0.034
0.009
0.045
0.083
0.052
0.055
0.077
EURUSD
0.006
GBPUSD
0.090
0.080
40
0.024
40
0.063
0.336
0.349
Standard
Mean
Deviation
0.050
0.076
0.093
0.057
0.016
0.007
0.438
0.290
0.062
0.086
0.008
0.024
0.010
0.012
USDCHF
0.002
40
0.017
0.707
0.354
0.968
0.550
0.434
0.473
0.533
0.586
USDJPY
0.885
AUDUSD
0.637
40
0.155
40
0.094
0.068
0.022
0.928
0.316
0.607
0.513
0.477
0.192
EURGBP
40
0.061
EURJPY
0.012
NZDUSD
0.091
40
0.012
40
0.059
0.074
0.076
0.092
0.006
0.016
0.006
0.012
0.082
MACD
0.195
Parabolic SAR
0.135
Momentum
Williams %R
SD
Commodity
Channel Index
USDCH
Mean
F
Stochastic
Oscillator
SD
Relative
Strength Index
(RSI)
Estimated Values
0.032
0.132
0.070
0.075
0.041
0.056
0.039
0.100
0.056
17
USDCAD
40
1.623
4.791
Overall
360
0.351
1.664
Table 14
Sharpe Ratio by Technical Indicators
Technical
Indicator
Mean
Standard
Deviation
Relative Strength
Index (RSI)
45
0.722
3.264
Stochastic
Oscillator
45
0.159
0.196
Commodity
Channel Index
(CCI)
45
0.781
3.262
Williams %R
45
0.166
0.239
Momentum
45
0.260
0.466
Bollinger Bands
45
0.204
0.400
Parabolic SAR
45
0.295
0.475
MACD
45
0.220
0.386
Overall
360
0.351
1.664
Table 13
Mean
Standard
Deviation
5 Minutes
72
0.229
0.419
15 Minutes
72
0.317
0.525
30 Minutes
72
0.227
0.396
1 Hour
72
0.830
3.608
4 Hours
72
0.153
0.265
Overall
360
0.351
1.664
Time Frame
Mean
Standard
Deviation
Leading
225
0.418
2.079
Lagging
135
0.240
0.421
Overall
360
0.351
1.664
Indicator Type
18
III. CONCLUSION
This study has focused on importance of nine
major currency pairs (EURUSD, GBPUSD, USDCHF,
USDJPY, AUDUSD, EURGBP, EURJPY, NZDUSD,
USDCAD), five time frames (5 Minutes, 15 Minutes, 30
Minutes, 1 Hour and 4 Hours) and eight technical
indicates (5 leading indicators, viz., Relative Strength
Index RSI, Stochastic Oscillator, Commodity Channel
Index, Williams % R, Momentum, and 3 lagging
indicators such as Bollinger Bands, Parabolic SAR and
Moving Average Convergence Divergence MACD)
for making profit and getting risk-free return in World
FOREX (Foreign Exchange) Market.
From the results, it is understood that the net
profit is high in all time frames when the volatility is
high for all currency pairs in the foreign exchange
market. The trading profit on the average is more
with lagging indicator, Parabolic SAR followed by
leading indicator, RSI and Williams %R. However,
trading profit from currency pairs with Parabolic
SAR followed by RSI and Williams %R indicators
have been highly inconsistent compared to trading
currency pairs with other technical indicators.
Trading currency pairs using lagging indicators have
yielded slightly higher profit compared to trading
with currency pairs using leading indicators. In sum,
it is concluded that time frame and technical
indicators are the important aspects in making profit
from all nine currency pairs in the foreign exchange
market.
Regarding risk adjusted returns, it is
identified that that USDCAD currency pair followed
by AUDUSD and GBPUSD currency pairs are the
major currency pairs which generates high risk
adjusted returns in all time frames. However, the risk
adjusted returns tend to be high when all currency
pairs traded in 1 hour time frame. The USDCAD
followed by AUDUSD and GBPUSD are the major
currency pairs that tend to generate high risk adjusted
returns with most of the technical indicators. When
all selected currency pairs are together used in
trading, the generation of high risk adjusted return is
more likely if CCI technical indicator is used. The
trading of USDCAD followed by AUDUSD and
GBPUSD currency pairs tend to generate high risk
adjusted returns but such return is likely to exhibit
high volatility for USDCAD and AUDUSD currency
pairs.
Time frame is an important aspect for
generating risk adjusted returns from currency pairs
All Rights Reserved 2016 IJORAT
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