Trend-following on the 7 FX majors: ten years of nothing

Source: Trend following on FX, widespread

Three of four lookbacks were negative.

On CFDs, overnight financing eats all of it.

Pairs

7

This verdict is about the strategy as published, not about the person who shared it.

The claim

Here’s what the strategy promises, in its own terms.

Simple time-series momentum on currency pairs has a proven edge.

How we tested it

Same six checks as everything else here: random entries, coin flips, a look-ahead audit, unseen years, double costs and a luck check. How we test →

What we found

10.3 years of daily data on 7 majors, four lookbacks: Sharpe ratios from -0.33 to +0.14, three of four negative. The documented trend premium comes from a broad 50+ futures basket, not currencies alone. A multi-asset version did show Sharpe 0.62 with no costs, but with CFD financing of about 3% a year it fell to -0.27 daily and about -0.06 monthly. Trend needs a futures account; on CFDs the overnight financing eats the whole edge.

The numbers

The headline numbers from our test.

Years	10.3
Pairs	7
Sharpe range	-0.33 to +0.14
Multi asset sharpe no costs	0.62
Multi asset sharpe with CFD costs	-0.27

• Profit factor: money won divided by money lost. Below 1.0 loses money. Around 1.0 is break-even.
• R-multiple: profit or loss measured in units of the amount risked per trade. +1R means you made what you risked.
• vs random: how the strategy did against the same trades with random entries.