Another quick update on the Short-Term Bollinger Reversion Strategy 2.0! Not a lot of signals over the past few days for both CAD/CHF and USD/CAD, but here’s how the positions went.
In this revised version of the Short-Term Bollinger Reversion Strategy, I’m waiting for RSI to cross above or below oversold or overbought levels to indicate a bit more momentum in the direction of the trade. Make sure you review the tweaks here!
Now these are the valid signals on USD/CAD since its latest backtest results:
And here are the ones from CAD/CHF since its latest backtest results:
This pair didn’t fare any better with its long position, either as price also spiked down to hit the stop before making its way to the middle band. Maybe I should introduce a no-trade rule when a top-tier report is released?
At that time of the price spike, Canada released its jobs report and the headline figures fell short of expectations, leading to a sharp drop for the Loonie.
So far not so good for this system, huh? Then again it does tend to do well in ranging markets since it’s a mean-reversion system after all. Unfortunately for this particular strategy, the pickup in volatility hasn’t worked in its favor.