AUD/CAD Mean Reverting strategy in a medium-short timeframe
In the following analysis we will attempt to extrapolate a mean reverting trend of the AUDCAD currency futures. This future lends itself well to our study, also with reference to medium/short periods
More in detail, in this article we will see if there is a correlation of returns in terms of mean reverting between a short period characterised by an uptrend or downtrend, and an immediately following period accompanied by a price trend in the opposite direction.
In particular, taking every week since 2010 as a reference, the following conditions must be fulfilled:
Short entry:
- The week must have had a return of +1.5%;
- The short trade must last 3 days.
Long entry:
- The week must have returned -1.5%.
- Long trade must last 3 days
Respecting the previous constraints, let’s see how the Future behaves:
– For a total of 44 trades, short trades have a Win Ratio of 68 %, a Profit Factor of 1.96 and with a total Tick movements of 832;
– For a total of 46 trades, long trades have a Win Ratio of 63 %, a Profit Factor of 1.86 and with a total Tick movements of 1156.
The two conditions lead to the following equity line of cumulative tick movements.
Giuseppe Ferrulli
CEO, Radiqant
