no, I am not aware of any. However, if I would see such a strategy, I would still like to see what is an alpha and beta (from standard CAPM, with equity market as a benchmark) of such a strategy. The reason is that sometimes trading in other instruments could still result in equity-like payoffs.

That is really an interesting topic. If I rightly remember, I faced with a dissertation in the Berlin university with this theme. You can search its thesis database to find  any related one.

The Best!

You can go through  a peer reviewed  article written  by K Lien

Dear Bhattacharya 

thank you for your interest.

would you please state the complete reference , or a webpage link, for the mentioned article 

https://www.joesenforex.com/wp-content/uploads/2014/03/Day-Trading.pdf

http://onlinelibrary.wiley.com/doi/10.1002/9781119212997.ch25/summary

http://onlinelibrary.wiley.com/doi/10.1002/9781119212997.ch15/summary

https://books.google.co.in/books?id=vGjpCgAAQBAJ&pg=PA123&lpg=PA123&dq=K+Lien+trading+strategy&source=bl&ots=l9B9EdOXB-&sig=yBRqSh6-OzD6FWWurXSbsMpaUFc&hl=en&sa=X&ved=0ahUKEwjp2OOxrO3OAhUYS48KHSG_AQAQ6AEIKTAB#v=onepage&q=K%20Lien%20trading%20strategy&f=false

Dear Amer Bakhach,

I believe it is better that you change the topics tagged under your question. The category International Trade has little to do with high frequency trading.  Eliminate it and add topics like Finance  and  Financial Engineering. You can  get a better access to people who are interested in your question.

Hi,

You may have a look to this paper:

FX technical trading rules can be profitable sometimes!

International Review of Financial Analysis, January 2017, vol 49,

Pages 113-127

Nima Zarrabi, Stuart Snaith, Jerry Coakley

best regards

thank you Patrick,

the article you pointed to is related to my research.

but, it's not really what i am looking for (the authors did not actually provide a specific benchmark. they considered the " excess returns" (i.e. Risk-free) rate as a benchmark. this is a different issue). 

instead, i was thinking to use the buy and hold approach as benchmark. for example, i am testing my strategies over trading periods of seven months. i can compute the monthly returns of B&H. then i will use these returns as benchmark to compute Jensen's Alpha and Beta. does this sound good? 

all the best.

HI,

OK, sorry, but you have to be very careful if you want to use such benchmark. Once more time have a look to these papers if you don't know them:

B Barber, J Lyon, "Detecting long run abnormal stock returns: The empirical power and speciofication of test statistics", 1997, Journal of Financial Economics, 41, p 193-229.

J D Lyon, B M Barber, C Tsai, " Improved methods for tests of long-run  abnormal stock returns", 1999 Journal of Finance, 54, p 165-201

Good luck!