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replication-study

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Replication and extension of "Currency Momentum Strategies" (Menkhoff, Sarno, Schmeling & Schrimpf, 2012) over 2000-2024, using Datastream FX data. Tests momentum against transaction costs, carry, Fama-MacBeth regressions, and equity/FX risk factors.

  • Updated Oct 9, 2026
  • Python

Replication study: the 70–90% accuracies reported for BTC daily direction prediction vanish under leak-proof evaluation (~52%, the base rate). Companion experiment shows the usual leaks barely matter, but a one-line label-misalignment bug hands a tabular model 97.5% while the CNN shrugs it off.

  • Updated Jul 19, 2026
  • Python

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