The implementation of an adjusted relative strength index model in foreign currency and energy markets of emerging and developed economies

Date
2019
Authors
Gurrib, Ikhlaas
Kamalov, Firuz
Journal Title
Journal ISSN
Volume Title
Publisher
Routledge
Abstract
This study proposes refinements to some weaknesses in the Relative Strength Index (RSI) model and tests its predictability over pre and post crisis periods for the most active USD based currency pairs, including two energy markets. A new model (AdRSI) is tested using daily data over 2001–2015. Benchmarked against RSI and buy-and-hold models, findings support an inverse relationship between energy and currency markets. While energy markets had relatively higher risk, Chinese yuan had the lowest annualized risk. AdRSI produced higher annualized returns, lower number of trades and higher annualized risk. Overall, the buy-and-hold model was superior with higher reward-to-volatility. © 2019, © 2019 Informa UK Limited, trading as Taylor & Francis Group.
Description
This article is not available at CUD collection. The version of scholarly record of this Article is published in Macroeconomics and Finance in Emerging Market Economies (2019), available online at: https://doi.org/10.1080/17520843.2019.1574852.
Keywords
Adjusted relative strength index, Emerging and developed economies, Foreign currency markets
Citation
Gurrib, I., & Kamalov, F. (2019). The implementation of an adjusted relative strength index model in foreign currency and energy markets of emerging and developed economies. Macroeconomics and Finance in Emerging Market Economies, 12(2), 105–123. https://doi.org/10.1080/17520843.2019.1574852