FX Trend-Following: A Walk-Forward Validation Study [Quant Insti] (opens in new tab)

TL;DR This project tests whether trend-following, a strategy family with decades of documented success in futures markets, transfers to spot FX. Three approaches (time-series momentum, moving-average crossover, and channel breakout) were backtested across the seven major currency pairs from 2003 to 2025, using 23 rolling walk-forward windows (3-year train, 1-year test), with parameters chosen for neighbourhood stability rather than peak historical Sharpe ratio.