Role of Indicators and Time Frame in Determining The Risk Adjusted Returns From Trading Currency Pairs

International Journal of Research in Advanced Technology - IJORAT
Vol. 1, Issue 5, MAY 2016
ROLE OF INDICATORS AND TIME

FRAME IN DETERMINING THE RISK
ADJUSTED RETURNS FROM TRADING
CURRENCY PAIRS
Dr.P.Krishnaveni 1
1. Assistant Professor, Department of MBA, SNS College of Technology, Coimbatore, India
Abstract: The study is conducted with the objectives of i)To identify impact of time frame and technical
indicators in making profit from all nine currency pairs in the foreign exchange market and ii)To assess the
Time frame and technical indicators in determining the risk adjusted returns from trading currency pairs.
Time frame is an important aspect for generating risk adjusted returns from currency pairs traded in foreign
exchange market. Role of technical indicators is also important in determining the risk adjusted returns from
trading currency pairs. Trading foreign currency pairs using leading indicators can generate high risk
adjusted returns but risk associated in trading with these indicators is also high when compared to that of
lagging technical indicators.
Keywords: Time Frame, Indicators, Currency pairs, Share Ratio.
benefit from this result, since a small number of
I. INTRODUCTION
trading rules can be chosen free of pre-selection bias.
They provided a method to build stable classes.
Sharpe ratio is a stock market parameter
Rather than simply concentrating on the correlation
which is often used to identify the risk-adjusted
of investing signals, their method focuses on
return of an investment. The Sharpe ratio tells us
membership stability. Milionis and Papanagiotou
whether a return from currency trading are due to
(2011) analyzed the procedure for the significance of
smart investment decisions or a result of extra risk
the predictive power of the Moving Average (MA)
associated with it. This measurement is very useful
trading rule of technical analysis was proposed and
because although one currency pair can reap higher
applied to the New York Stock Exchange (NYSE),
returns than its peers, it is only a good investment if
the Athens Stock Exchange (ASE) and the Vienna
those higher returns do not come with too much
Stock Exchange (VSE). An application of the
additional risk. The greater a portfolio's Sharpe ratio,
proposed methodology to capital markets for the
the better is risk-adjusted performance.
period 1993 to 2005 shows that weak form market
II. REVIEW OF LITERATURE:
efficiency is clearly accepted for the NYSE, is rejected
for the ASE except for the last sub-period (2001 to
Tsung-Hsun Lu and Yung-Ming Shiu (2012)
2005), while for the VSE, it is rejected for the first
used the Taiwan 50 Index component stocks and
sub-period (1993 to 1997) and accepted for the other
examined the predictive power of candlestick trading
two sub-periods. Krishnan and Menon (2009) in their
strategies. A four-digit numbers approach is
study on Impact of Currency Pairs, Time Frames and
employed to categorize two-day candlestick patterns.
Technical Indicators on Trading Profit in Forex Spot
They found that two candlestick bullish patterns
Market, found that EUR/USD proves to be more
consistently
outperform
others.
The
main
profitable, strong and less risky. Though there is no
contribution of this study include addressing a range
notable difference on trading profit, while using different
of two-day candlestick patterns, finding existing
Time frames, it is observed that trading with shorter time
patterns not profitable, and showing two new patterns
frames are more risky and provide low liquidity to the
as profitable. Paolo and Cristian (2011) concluded
traders, as compared to longer Time frames. Regarding
that the universe of technical analysis developed so
use of indicators, if used scientifically with combinations
far in the finance arena converges towards a
of proper strategies, they produce significant profits.
relatively small number of well distinguished trading
McKenzie (2007) tested the ability of simple
styles. As argued, the studies on EMH can greatly
All Rights Reserved 2016 IJORAT

technical trading rules to forecast future stock market

movements is considered for seventeen emerging
markets, sampled from January 1986 to September
2003. Some of the trading rules considered generated
significant returns; this information could be
exploited profitably on occasion. Market conditions
and trading volume are found to be important to
determine the usefulness of technical trading rules.
Gehrig and Menkhoff (2006) surveyed that the use of
technical analysis by considering flow analysis as a
third form of information production. Moreover, the
survey covers Forex dealers and also the rising fund
managers. Technical analysis has gained importance
over time and is now the most equally spread kind of
analysis. It has by far the greatest importance in
foreign exchange dealing and is second in fund
management. Charts are used for shorter-term
forecasting horizons while flows dominate at the
shortest-term and fundamentals at longer horizons.
Yin-Wong Cheung et al. (2004) summarized the
results of a survey of UK-based foreign exchange
dealers conducted in 1998. It addressed topics in
three main areas: the microeconomic operation of the
foreign exchange market; the beliefs of dealers
regarding the importance, or otherwise, of observable
macroeconomic fundamental factors in affecting
exchange rates; microstructure factors in Forex.
Market norms and behavioral phenomena are very
strong in the Forex market. Arnaldo Aliveria (2003)
discussed the use of fundamental and technical
analysis in investing theories. In this paper he
discussed about the strategies used by investment
professionals in asset valuation; Basis of the theory
of games and economic behavior; Information on the
firm-foundation theory; details on the concept of
intrinsic value and its importance for evaluating an
investment. Bernd Lucke (2003) focused on the
prominent
head-and-shoulder
pattern as
a
representative trading rule which incorporates various
technical ideas such as smoothened trends, trend
reversal, resistance levels, and volatility clustering.
For various combinations of the building blocks of
head - and shoulder definitions the results was
generally negative. Returns to head-and-shoulder
rules were not significantly positive - and if there was
any evidence for non-zero returns at all, then it was
evidence for negative returns. Carol (2003) explained
clustering in currency stop-loss and takes profit orders,
and uses that clustering to provide an explanation for two
familiar predictions from technical analysis: (1) trends
tend to reverse course at predictable support and
resistance levels, and (2) trends tend to be unusually rapid
after rates cross such levels. Bang Nam jeon and
Euiseong Lee (2002) found international policy
coordinations during the late 1980s have affected
across-country market efficiency by introducing
common stochastic trends in the system of the seven

major foreign exchange markets during the period of
the policy implementation, but the market
inefficiency did not last long. Carol (2000) concluded
that consistent with the markets conventional
wisdom, exchange rates bounced quite a bit more
frequently after hitting published support and
resistance levels than they would have by chance.
Exchange rates bounced off arbitrary support and
resistance levels 56.2% of the time on average. By
contrast, they bounced off the published levels 60.8%
of the time on average. They found that in all sixteen
firm-currency pairs, average bounce frequencies for
published levels (across the entire sample period)
exceeded average bounce frequencies for artificial
levels. Yu-Hon Lui and David Mole (1998) found that
more than 85% of respondents rely on both
fundamental and technical analyses for predicting
future rate movements at different time horizons. At
shorter horizons, there exist a skew towards reliance
on technical analysis a skew becomes steadily reversed
as the length of horizons considered is extended.
Technical analysis is considered slightly more useful
in forecasting trends than fundamental analysis, but
significantly more useful in predicting turning points.
In the technical analysis, moving average and/or other
trend systems are the most useful technical technique.
Helen Allen and Mark (1990) perceived importance
and nature of chartist or technical analysis in the
London foreign exchange market. If noise traders are
defined as those speculators who do not base their
trading strategies on a consideration of market
fundamentals, then it clearly encompasses those
traders who employ chart analysis i.e., those who
base their strategies on the analysis and extrapolation
of past price movement alone.
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

high for trading in 15 minutes time duration with

Stochastic Oscillator and Momentum indicators.
This shows that trading this currency pair in 15
minutes times with RSI, Stochastic Oscillator and
Momentum indicators generates high risk adjusted
returns when compared to trading in other time
duration with these three leading indicators.
However, Sharpe ratio is high for trading in 30
minutes time duration with other two leading
indicators, viz., CCI and Williams %R. To sum up,
when all the five leading indicators are used for
trading EURUSD currency pair in 30 minutes time
duration, the traders are likely to get high risk
adjusted returns.
TABLE I
Sharpe Ratio of EURUSD Currency Pair
Time Frame
Technical
Indicator
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
Regarding lagging indicators, trading with

Bollinger Bands and MACD in 1 hour time duration,
and Parabolic SAR in 15 minutes time duration is
likely to generate high risk adjusted returns when
compared to trading this currency pair in other time
duration with these indicators. To sum up, using
these three lagging indicators interchangeably for
trading EURUSD currency pair in 1 hour time, the
traders get more risk adjusted return. On the whole,
with all the eight indicators, the trading this currency
pair in 15 minutes and 30 minutes time duration
could generate high risk adjusted return.
B. Risk Adjusted Return of GBPUSD currency
pair
The Sharpe ratios for trading GBPUSD
currency pair in various time frames using 5 leading
and 3 lagging technical indicators produced by FSB
software are reported in TABLE 2. According to the
table, the Sharpe ratios for trading GBPUSD
currency pair in 4 hours time frame with RSI, CCI
and Williams %R indicators and ratios for trading in
15 minutes time frame with Stochastic Oscillator and
Momentum indicators are high. In respect of using
all leading indicators, the Share ratio is found to be
high if the currency pair is traded in 4 hours time
frame.
TABLE 2
Sharpe Ratio of GBPUSD Currency Pair
Technic
al
Indicato
r
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
Out of three lagging indicators, the Sharpe

ratio is high for GBPUSD when trading is done in 4
hours time frame with Bollinger Bands, in 30 minutes
followed by 15 minutes time frame with Parabolic
SAR and trading in 5 minutes time frame with
MACD indicators. With all three lagging indicators,
the Sharpe ratio is high if the currency pair is traded
in 1 hour time frame followed by5 minutes time
frame. Precisely, it is found that trading GBPUSD
currency pair in 4 hours time frame generates high
risk adjusted return with 5 leading and 3 lagging
technical indicators.
C Risk Adjusted Return of USDCHF currency
pair
TABLE 3
Sharpe Ratio of USDCHF Currency Pair
Technic
al
Indicato
r
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
Table 3 presents the Sharpe ratio for trading

USDCHF currency pair in 5 different time frames
across 5 leading and 3 leading technical indicators.
As presented in the table, the Sharpe ratio is
high when this currency pair is traded using RSI and
Stochastic Oscillator indicators in 1 hour time frame,
CCI indicator in 15 minutes and 1 hour time frames,
Williams %R and Momentum indicators in 4 hours
time frame. With all five leading indicators, the
Sharpe ratio is high if this currency pair is traded in 1
hour time frame. Similarly, the Sharpe ratio is high
for trading USDCHF currency pair in 4 hours time
frame with Bollinger Bands and MACD indicator, 1
hour frame with Parabolic SAR. With all three
lagging indicators, the Sharpe ratio is high when this
currency pair is traded in 1 hour followed by 4 hours
time frame. Overall, with all eight technical
indicators, the Sharpe ratio is high for trading in 1
hour time frame.
In sum, it is found that risk adjusted return
from trading USDCHF currency pair is high with all
indicators in larger time frame (1 hour and 4 hours).
That is, better risk adjusted returns are associated
with longer time frames if the USDCHF currency
pair is traded using all selected technical indicators.
11

D. Risk Adjusted Return of USDJPY currency

pair
The status of risk adjusted return based on
Sharpe ratio for USDJPY currency pair is analyzed
and the results of the analysis are provided in Table
4. As provided in the table, using RSI in 4 hours
time frame, Stochastic Oscillator and CCI in 30
minutes time frame, Williams %R and Momentum in
15 minutes time frame have yielded high risk
adjusted returns from trading USDJPY currency pair
(Sharpe ratio is high). With all the five leading
technical indicators, there is no much difference in
the risk adjusted returns in all time frames. As far as
the lagging indicators are concerned, using Bollinger
Bands in 1 hour time frame, Parabolic SAR in 15
minutes time frame and MACD in 5 minutes time
frame have generated high risk adjusted returns from
trading this currency pair. With all three lagging
indicators, trading this currency pair in 30 minutes
time frame have generated high risk adjusted returns.
TABLE 4
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
The risk adjusted return is likely to be high

from trading USDJPY currency pair in 30 minutes
and 15 minutes time frames against using all eight
technical indicators. Overall, it is found that the
better risk adjusted returns are associated with 30
minutes time frame for USDCHF currency pair with
5 leading and 3 lagging technical indicators.
E. Risk Adjusted Return of AUDUSD currency pair
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
Table 5 presents the Sharpe ratio for

AUDUSD currency pair for five different time
frames against eight technical indicators.
Sharpe Ratio of USDJPY Currency Pair

Technic
al
Indicato
r
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
It can be seen from Table 5 that trading of

AUDUSD currency pair in 30 minutes and 1 hour
time frames with RSI indicator, 15 minutes time
frame with Stochastic Oscillator and Willams %R
indicator, 30 minutes time frame with CCI and
Momentum indicators have generated high risk
adjusted returns compared to that trading this
currency pair in other time frame with these
indicators. When all five leading indicators are
interchangeably used, this risk adjusted return is high
if traded in 1 hour and 30 minutes time frames.
Trading this currency pair with Momentum in 30
Minutes and Parabolic SAR in 1 hour have generated
high risk adjusted returns. The risk adjusted returns
are high if trading is carried out in 1 hour time frame
with all the three lagging indicators. When all eight
technical indicators are interchangeably used,
generation of risk adjusted returns tend to be high in
1 hour time frame followed by 30 minutes and 15
minutes time frame. Overall, it is found that the
traders are likely to get high risk adjusted return
when they trade this currency pair using all eight
technical indicators in 30 minutes to 1 hour time
frames.
E. Risk Adjusted Return of EURGBP currency
pair
Table 6 shows the Sharpe ratio of EURGBP
currency pair for trading with 5 leading and 3 lagging
technical indicators in five different time frames. As
shown in the table, trading this currency pair with
RSI indicator in 1 hour time frame, Stochastic
Oscillator in 4 hours time frame, CCI in 5 minutes
time frame, Williams %R in 1 hour time frame and
with Momentum indicator in 5 minutes time frame
has generated high risk adjusted returns. With all the
five leading indicates, the trading EURGBP in 5
minutes time frame has generated high risk adjusted
returns.
If trading this currency pair with Bollinger

Bands in 5 minutes and 15 minutes time frame,
Parabolic SAR in 4 hours followed by 1 hour, 15
minutes and 5 minutes time frame and MACD in 5
minutes time frame generates high risk adjusted
returns. With all three lagging indicators, the
generated return in excess of risk free return is high
when the trading of EURGBP in 5 minutes time
frame.
Table 6
Sharpe Ratio of EURGBP Currency Pair
Technic
al
Indicato
r
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

With all eight technical indicators, the

generated returns in excess of risk free return is high
if the trading of EURGBP is carried in 5 minutes
time frame. Therefore, it is found that using leading
and lagging indicators for trading EURGBP in all
time frames except 30 minutes time frame tend to
generate high risk adjusted returns.
F. Risk Adjusted Return of EURJPY currency
pair
The Sharpe ratios of EURJPY currency pair
for five different time frames relative to eight
technical indicators are provided in Table 7.
Table 7
Sharpe Ratio of EURJPY Currency Pair
Technic
al
Indicato
r
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
From the table, it can be observed that trading

EURJPY in 4 hours time duration with RSI indicators, 15
minutes time duration with Stochastic Oscillator, 30
minutes time duration with CCI, 5 minutes time duration
with Williams %R and in 4 hours time frame with
Momentum indicator generates high risk adjusted returns
when compared to that of in other time frames relative to
various technical indicators. The risk adjusted returns, on
the average is high in 4 hours time frame for all five
leading indicators.
When trading this currency pair using Bollinger
Bands in 30 minutes followed by 15 minutes and 5
minutes time frame, Parabolic SAR in 15 minutes time
frame, MACD in 4 hours time frames is carried out, the
generation of risk adjusted returns is high. For trading in
15 minutes time frame, the risk adjusted returns is more
for all three lagging indicators. Risk adjusted returns is
high from trading EURJPY currency pair in 15 minutes
and substantial from trading this currency pair in other
time frames.
G. Risk Adjusted Return of NZDUSD currency
pair
Table 8
Sharpe Ratio of NZDUSD Currency Pair
Technic
al
Indicato
r
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
To know the risk adjusted returns from

trading of NZDUSD currency pair, the FSB software
is used to calculate Sharpe ratio for this currency pair
in
5 different time frames with eight various technical
indicators.
Table 8 provides the ratios. It can be seen
from the table that risk adjusted return is high from
trading this currency pair using RSI indicator in 1 hour
time frame, Stochastic Oscillator and CCI in 5 minutes
time frame, Williams %R and Momentum in 1 hour
time frame, generates high risk adjusted returns.
Trading in 1 hour time frame followed by 30
minutes and 5 minutes time frame have yielded high
risk adjusted return based on all five leading indicators.
Using MACD indicator for NZDUSD currency pair
generates high risk adjusted returns when trading is
carried out in 4 hours time frame followed by 5 minutes
and 1 hour time frames. Risk adjusted return is high
from trading this currency pair using Bollinger bands in
4 hours time frame and Parabolic SAR in 15 minutes
time frames.
On the whole, it is found that risk adjusted
returns is high if NZDUSD currency pair is traded
with all indicators in all time frames but it is higher
when trading in 1 hour followed by 5 minutes time
frames.
H. Risk Adjusted Return of USDCAD currency
pair
Table 9 presents the Sharpe ratio for 5 time
frames against eight technical indicators for trading
of USDCAD currency pair.
Table 9
0.07
6
Sharpe Ratio of USDCAD Currency Pair

Technic
al
Indicato
r
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
It can be seen from the table, the trading of

USDCAD
currency
pair
in
1 hour time frame using RSI, CCI and Willams %R
indicators generates high risk adjusted returns.
Stochastic Oscillator generates high risk adjusted
return
in
5 minutes time frame and Momentum in 15 minutes
time frame. While using lagging indicators such as
Bollinger Bands and MACD indicators in 5 minutes
times, has generated high risk adjusted returns, using
15

Parabolic SAR in 30 minutes have yielded high risk

adjusted returns from trading this currency pair.
The status of risk adjusted returns from
trading USDCAD currency pair for all lagging
indicators is high in 5 minutes followed by 30
minutes
time
frame.
But using of leading and lagging technical indicators
jointly for USDCAD currency pair tend to generate
high risk adjusted return if it is traded in 1 hour time
frame. Hence, it is concluded that risk adjusted
returns from USDCAD currency pair is likely to be
higher if this currency pair is traded in 1 hour frame
interchangeable with 5 leading and 3 lagging
technical indicators.
SD
USDC Mea
HF
n
SD
USDJ
PY
SD
AUD
USD
I Risk Adjusted Return of Currency Pair by Time

Frame
Table 10 summarizes the Sharpe Ratio of
selected currency pairs by time frame.
It is understood from the table that the
Sharpe
Ratios
in
5
minutes
and
15 minutes time frames for USDCAD followed by
AUDUSD and GBPUSD currency pair, 30 minutes
for AUDUSD followed by USDCAD, 1 hour time
frame for USDCAD followed by AUDUSD and in 4
hours time frame for GBPUSD currency pair are
higher when compared to the ratios in these time
frames for other currency pairs.
It is clear that USDCAD currency pair has
generated high risk adjusted returns in all time frames
except in 30 minutes and 4 hours time frames. Next to
USDCAD currency pair, AUDUSD currency pair
generates high risk adjusted returns in the above
mentioned time frames. In higher time frames, i.e., in
1 hour and 4 hours time frames, GBPUSD currency
pair has yielded high risk adjusted returns. The Sharpe
ratio is high for trading all currency pairs in 1 hour
time frame.
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
Sharpe Ratio of Currency Pairs by Time Frame
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
On the whole, it is found 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.
J. Risk Adjusted Return of Currency Pair by
Technical Indicators
16

Table 11 presents the Sharpe ratio for

selected currency pairs by technical indicators.
From the table, it is evident that using RSI
and CCI indicators for trading USDCAD currency
pair followed by AUDUSD and GBPUSD currency
pairs have yielded high risk adjusted returns.
Similarly, risk adjusted returns are high from trading
GBPUSD followed by AUDUSD with Stochastic
Oscillator, AUDUSD currency pair with Williams
%R and AUDUSD followed by NZDUSD currency
pairs with Momentum indicators. Among the lagging
indicators, trading USDCAD followed by GBPUSD
currency pair with Bollinger bands,
trading
AUDUSD followed by USDCAD and GBPUSD
currency pairs with Parabolic SAR and trading
USDCAD followed by GBPUSD with MACD tend
to generate high risk adjusted returns.
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
0.073 0.016 0.022

0.027
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
When all currency pairs are traded with CCI

followed by RSI indicators, the traders are likely to
get high risk adjusted returns. Therefore, it is found
Table 11
that USDCAD followed by AUDUSD and GBPUSD
are the major currency pairs that tend to generate
Sharpe Ratio of Currency Pair by Technical
high risk adjusted returns with most of the technical
Indicators
indicators.
When all selected currency pairs are
used in trading, the generation of high risk
Technicaltogether
Indicator
adjusted return is more likely if CCI technical
indicator is used.
Currenc
K. Risk Adjusted Return of Currency Pair
y Pair
Table 12 shows the Sharpe ratio by currency
pairs. From the table, it can be observed that the
Sharpe ratio is high for USDCAD currency pair when
compared to that of other remaining currency pairs.
EURUS
However, next to USDCAD currency pair, the Sharpe
D
Mean 0.076
0.097 0.110
0.155
0.075is more for AUDUSD
0.093
0.047
0.092
ratio
currency pair
followed by
GBPUSD
currency
pair. 0.021
SD
0.028
0.040 0.054
0.114
0.049
0.028
0.034
Table 12
GBPUS
Mean
D
0.420
0.381 0.559
0.275
0.300
0.581
0.432
Sharpe0.555
Ratio of Currency
Pairs
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
L. Risk Adjusted Return of Time Frames
Bollinger Bands
45
0.204
0.400
The Sharpe ratios by Time frames are

reported in Table 13. It can be seen from the table
that the ratio is high for 1 hour time frame. The ratio
is much less for other time frames when compared to
that of 1 hour time frame.
Parabolic SAR
45
0.295
0.475
MACD
45
0.220
0.386
Overall
360
0.351
1.664
N = No. of outcomes of each Currency Pair.
From standard deviation, it is however

apparent that it is high for USDCAD and then for
AUDUSD. This indicates that risk adjusted returns
are highly volatile when trading is undertaken with
USDCAD and AUDUSD currency pairs. In sum, it
is concluded that the trading of USDCAD followed
by AUDUSD and GBPUSD currency pairs tend to
generate high risk adjusted returns but the return is
likely to exhibit high volatility for USDCAD and
AUDUSD currency pairs.
Table 13
N = No. of outcomes of each Technical Indicator.
Sharpe Ratio by Time Frames

N
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
Hence, using CCI as technical indicators for

currency trading tend to yield high risk adjusted
returns. Next to CCI, using RSI also tend to generate
high risk adjusted returns from currency trading.
Therefore, it is found that role of technical indicators
in determining the risk adjusted returns from
currency pairs traded in foreign exchange market is
vital.
Table 5.30 reports the Sharpe Ratio by
indicators type, i.e., by leading and lagging technical
indicators.
Table 15
Sharpe Ratio by Indicator Type
N = No. of outcomes of each Time Frame.

This clearly indicates that trading of selected
currency pair in one hour time duration is likely to
generate high risk adjusted return. Hence, it is found
that time frame play an important role in determining
the risk adjusted returns from currency pairs traded in
foreign exchange market.
Mean
Standard
Deviation
Leading
225
0.418
2.079
Lagging
135
0.240
0.421
Overall
360
0.351
1.664
Indicator Type
M. Risk Adjusted Return by Technical Indicators
N = No. of outcomes of each Technical Indicator.
Table 14 reports the Sharpe Ratio by

Technical Indicators. From the table, it is evident
that the Sharpe Ratio is high for CCI (Commodity
Channel Index) prior to RSI (Relative Strength
Index).
According to the table, the Sharpe ratio is

high for leading indicators as well as its standard
deviation. This clearly reveals that trading foreign
currency pairs using leading indicators can generate
18

high risk adjusted returns but risk associated in

trading with these indicators is also high when
compared to that of lagging technical indicators.
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
traded in foreign exchange market. Role of technical

indicators is also important in determining the risk
adjusted returns from trading currency pairs. Trading
foreign currency pairs using leading indicators can
generate high risk adjusted returns but risk associated
in trading with these indicators is also high when
compared to that of lagging technical indicators.
ACKNOWLEDGMENT
Dr.P.Krishnaveni would like to take this
opportunity to place on record hearty thanks to the
Management of SNS College of Technology,
Coimbatore for granting me permission to undertake
the research and also for providing adequate facilities
to pursue the same.
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Vol. 1, Issue 5, MAY 2016