The rules
Long the strongest pair and short the weakest by three-month return.
- Universe
- EURUSD, GBPUSD, AUDUSD and NZDUSD
- Bars
- daily
- Position size
- Dollar neutral
- Rebalance
- month-end
Results
| Measure | Orbital re-test | Published | SPY, same days |
|---|---|---|---|
| Window | Not re-tested | 2010-2025 | — |
| Total return | — | −34.12% | — |
| CAGR | — | −2.58% | — |
| Sharpe | — | −1.00 | — |
| Discounted Sharpe | — | — | — |
| Max drawdown | — | −41.4% | — |
| 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. Orbital ranks entries best first and cannot take both ends of one ranking, so only the long half is kept, at its original 50% of equity, and the strategy is no longer market neutral.
Rotate among the currency ETFs FXE, FXB and FXA on daily bars. On the first trading day of each month, sell the holding, and the next day put 50% of equity into the ETF with the highest 63-day return. Long only; uninvested capital stays in cash. 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