Currency momentum · euro, yen, dollar index (after Menkhoff, Sarno, Schmeling & Schrimpf 2012)
'Currency Momentum Strategies' found past winners among currencies keep winning for up to a year. Approximation with three currency ETFs: hold the one with the best 3-month return. Falsified if it does not beat holding all three equally.
Forward tracking started 2026-10-13. Results appear after 21 trading days.
Backtest
| Metric | Strategy | Benchmark |
|---|---|---|
| CAGR | 1.26% | -0.75% |
| Volatility | 9.21% | 3.35% |
| Sharpe | 0.18 | -0.21 |
| Max drawdown | -18.32% | -22.15% |
| Turnover (per year) | 4.25 |
Deflated Sharpe: 0.00 (n trials: 355) — the probability the Sharpe ratio is real after the number of variants tried.
Spec
{
"costs_bps": 10,
"end": "2025-12-31",
"rebalance": "M",
"side": "long",
"signal": {
"expr": "rank(ret(63))",
"type": "expr"
},
"start": "2008-01-01",
"top_n": 1,
"universe": [
"UUP",
"FXE",
"FXY"
]
}Fork this strategy
Re-run it with your own changes. The fork is computed on the server and linked back here.
curl -X POST https://api.finzdata.com/v1/hub/s/currency-momentum-euro-yen-dollar-index-after-menkhoff-sarno-571084/fork \
-H 'Authorization: Bearer YOUR_KEY' -H 'Content-Type: application/json' \
-d '{"changes": {"signal": {"lookback": 126}}}'Or ask your AI assistant (Claude, ChatGPT, Cursor with the FinzData connector):
Fork the FinzData strategy currency-momentum-euro-yen-dollar-index-after-menkhoff-sarno-571084 and test it with a 126-day lookback and 20 bps costs, then compare both runs.
Community
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