Figure - uploaded by Moritz Heiden
Content may be subject to copyright.
Test for difference of P W R and P LR for long positions and performance for the naive investment strategy
Source publication
Based on a dataset of positioning data from one of the largest forex trading platforms in the world, we study the trading behaviour of retail investors on a daily frequency for 14 currency pairs. We examine, whether retail investors could benefit from positioning data. Using a quantile regression framework we find that a representative investor sho...
Contexts in source publication
Context 1
... conduct this investigation separately for long and short positions to examine, whether long positions and short positions could be inherently different and display different behavioral characteristics. Table 5 shows this for long positions of the naive investment strategy in each currency, while table 7 displays the same analysis for short positions (table 6 and table 8 in the Appendix show the same analysis for the naive net strategy and the results are qualitatively similar). ...Context 3
... the Sharpe ratios of the average retail investors' long strategies, Table 5 shows that the risk-adjusted investment performance is negative in most of the markets (with the exception of the EUR/JPY currency pair). When ranking the strategies in ascending order, starting by those with the 'most negative' Sharpe ratios, we observe that out of the 5 worst strategies (the currency pairs EUR/USD, NZD/USD, AUD/USD, EUR/GBP, GBP/USD), table 5 and table 7, the ratio P W R/P LR also shows this strong disposition effect of the average retail investor for allmost all currencies. ...Context 4
... the Sharpe ratios of the average retail investors' long strategies, Table 5 shows that the risk-adjusted investment performance is negative in most of the markets (with the exception of the EUR/JPY currency pair). When ranking the strategies in ascending order, starting by those with the 'most negative' Sharpe ratios, we observe that out of the 5 worst strategies (the currency pairs EUR/USD, NZD/USD, AUD/USD, EUR/GBP, GBP/USD), table 5 and table 7, the ratio P W R/P LR also shows this strong disposition effect of the average retail investor for allmost all currencies. ...Similar publications
The exchange rate of each money pair can be predicted by using machine learning algorithm during classification process. With the help of supervised machine learning model, the predicted uptrend or downtrend of FoRex rate might help traders to have right decision on FoRex transactions. The installation of machine learning algorithms in the FoRex tr...
