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Results of my Mean Reversion Trading Strategy in the Forex Markets!

These above are the results of my Mean Reversion Strategy in the Forex Markets.
Really really happy with the work i've done on this In sample data was till the end of 2020 And Out of Sample 2021 onwards Pitched this today as well to two funds as well which went well as well
The overall strategy has one trend following strategy added to it Example : If we're going long on EURUSD we go short on GBPUSD as a method of decreasing overall noise in the equity curve , but making sure the trending element of the strategy also has some edge to it.
The pair selection also has been done elegant way building a correlation matrix of all the pairs and choosing the most diversified low spread pairs as possible which have the highest % of mean reversion
There we lot of pairs which has really high %'s of mean reversion but these pairs we're all ones with high spreads and low volume , i've ignored them example i've found from my testing USDILS mean revert 65% of the time , which means 65-35 = it gives us an edge of 30% per year but i've still not included them in the backtest as i've never traded them completely want to remove any selection bias.
These pairs can be included in the future or worked upon later.
- The strategy runs with absolutely no parameters - It runs on a simple 1:1RR system with no risk management rules ( again as i wanted the backtest as raw as possible ( lot for more scope for further improvement ) - The backtest has only a few hundred trades a year - Also keeping in mind a reverse of ( 20% for shocks , management fee , extra costs )

Does this strategy look promising, this is for silver 1 minute time frame, strategy is both for long and short trades, only 1 trade a day.

3 Comments

John Doe 01 Jan 2045

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John Doe 01 Jan 2045

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John Doe 01 Jan 2045

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