Well, this isn't much of a smoking gun, as it is proof of something we're all quite aware of in the Forex world. I wouldn't say that this is an exhaustive or very academic article but it does indeed add substance to what I'm likely very well aware of. Which is that my volatility breakout and trend following strategies, though they do not include moving averages work the best on USDJPY. After testing on essentially all other currency pairs, I've come to the conclusion that long term trends tend to be the strongest in the Yen pairs.

http://www-stat.wharton.upenn.edu/~stee … lowing.pdf