CAD Futures: Mean Reverting Bias
In this analysis on CAD futures we will conduct a simple study on the presence of a mean reverting characteristic of the cross, identifying high level asset prices for it to revert to its moving average level, selling high.
The reference point will be the high price of the previous t-1 week increased by a percentage (p1).
When the price exceeds the high of the previous week plus the percentage, that will be our reference point for a short entry.
Therefore:
High weekt > High weekt-1 + p1.
The results of the revenue described above are thus expressed in the table below.
|
Currency Pair |
mean tick |
Total Trades |
Win Ratio |
Profit factor |
|
CAD |
-0,00117 |
148 |
0,59 |
1,8 |
Table 1 – Statistics of the short entry on the Cad futures.
As we see from the table, there is a win ratio of 59% with 148 trades, with an average tick increment of -$0.00117, where the Minimum Tick Size is $0.0001 per increment. The profit factor of the 148 trades is 1,8 .
The resulting cumulative tick movements line will be as shown in the figure below.
Figure 1 – CAD futures cumulative tick movements.
|
Year |
Tick movements |
|
2010 |
-0,0298 |
|
2011 |
0,0011 |
|
2012 |
-0,0276 |
|
2013 |
0,0023 |
|
2014 |
-0,0288 |
|
2015 |
-0,0198 |
|
2016 |
-0,0422 |
|
2017 |
0,0282 |
|
2018 |
-0,0184 |
|
2019 |
0,0064 |
|
2020 |
-0,0335 |
|
2021 |
-0,0126 |
Table 2 – Revenue results on CAD futures per year.
Giuseppe Ferrulli
CEO, Radiqant
