AUD futures daily range

In this analysis we will see how the AUD futures fits into a particular mean reverting strategy.

Figure 1 – AUD chart (source: https://it.tradingview.com/chart/?symbol=CME%3A6A1%21)

Taking the series since 2010, we first calculate the moving avarage (aHiLot) of the daily ranges (High-Low) in the previous t days.

aHiLot = (high-Low1 + high-low2 + …+high-lowt)/(t);

We then check day by day whether the future has shown an upward movement to touch or exceed the aHiLot value plus an overHi, the latter measured in tick movements.

The condition is thus:

High-open > aHiLot + overHi

If the condition occurs, we will enter with a short position.

Following this approach, we consider two t-values: one short term, equal to 5 day trading, and the other medium term, equal to 60 day trading. Instead, we take as overHi the tick movements values 0, 20, 40.

Let’s observe in the table below the results obtained.

t	overHi	Total tick movements	Mean tick movements	Total trade	Win Ratio
5	0	-0,0455	-0,0001	330	51,8%
5	0,002	-0,0416	-0,0003	157	52,2%
5	0,004	-0,0097	-0,0001	67	50,7%
60	0	-0,1002	-0,0003	301	56,1%
60	0,002	-0,0634	-0,0005	127	51,2%
60	0,004	-0,0832	-0,0012	67	62,7%

The aHiLo60 has higher win ratio and higher mean tick movements, as the moving avarage has more information given the higher number of days used in calculating the HiLo range. Also, as we can see, a larger overHi leads to better results by finding a better entry and consequently with fewer trades.