A strategy based on mean reverting property of markets and applications to foreign exchange trading with trailing stops
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DOI: 10.1002/asmb.2229
Abstract: We propose a strategy for automated trading, outline theoretical justification of the profitability of this strategy, and overview the backtesting results in application to foreign currencies trading. The proposed methodology relies on the assumption that… read more here.
Keywords: reverting property; strategy based; exchange; strategy ... See more keywords