The rules
Trade each pair in the direction of its 126-day move, sized in whole standard lots by ATR risk.
- Universe
- EURUSD, GBPUSD, AUDUSD and NZDUSD
- Bars
- daily
- Position size
- ATR-based standard lots
- Rebalance
- daily check
Results
| Measure | Orbital re-test | Published | SPY, same days |
|---|---|---|---|
| Window | Not re-tested | 2010-2025 | — |
| Total return | — | −14.20% | — |
| CAGR | — | −0.95% | — |
| Sharpe | — | −0.71 | — |
| Discounted Sharpe | — | — | — |
| Max drawdown | — | −15.3% | — |
| Win rate | — | — | — |
| Profit factor | — | — | — |
| Trades | — | — | — |
Rebuild it in Orbital
Paste this into Orbital Chat. The Strategy Developer builds the workflow and asks before it runs any backtest.
Closest Orbital version: the currency ETFs FXE, FXB and FXA stand in for EURUSD, GBPUSD and AUDUSD, and NZDUSD is dropped because no US-listed ETF tracks it. Whole standard lots, sized by ATR risk and recounted every day, become a fixed 20% of equity per ETF, the original's notional cap on each pair, and a flip spends a day flat because Orbital closes a position before opening the other side.
Trade the currency ETFs FXE, FXB and FXA on daily bars. Hold an ETF long while its 126-day return is positive and short while it is negative, with 20% of equity per position. When the sign flips, close the position at the next open and open the other side the day after. Use a margin account so it can sell short. Backtest the last 10 years with $100,000.
Why it was not re-tested
Spot FX. Orbital's backtester covers US stocks and ETFs.
Sources