Profitability PDF

See discussions, stats, and author profiles for this publication at: https://www.researchgate.
net/publication/247956816
The proﬁtability of intra-day FX trading using technical indicators
Article · January 2000
CITATIONS READS
11 80
2 authors, including:
Michael A. H. Dempster
University of Cambridge
319 PUBLICATIONS 3,692 CITATIONS
SEE PROFILE
Some of the authors of this publication are also working on these related projects:
US Government Budgeting View project
Quantitative Finance View project
All content following this page was uploaded by Michael A. H. Dempster on 28 January 2015.
The user has requested enhancement of the downloaded file.

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1
This definition is sometimes too constricting since some technical analysts also study the historical
volume and open interest of a market

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2
As a whole, the operations of intra-day FX traders account for 75% of FX market volume (Bank of
International Settlements (1998)

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3
Slippage is a concept that is often alluded to but rarely specified. In this work, we take slippage to be the
penalty incurred when a trade is placed as a result of differences between actual execution price and quoted
mid-price combined with transaction costs. As a result, we have one penalty that covers both potential
sources of slippage.
4
Here, a new data point, or tick, is recorded with every change in price. As a result, there are often several
ticks per minute.

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5
A pip is the minimum allowable change in price – in this case $0.0001.

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The proﬁtability of intra-day FX trading using technical indicators

Article · January 2000

US Government Budgeting View project

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