GBPUSD Forex Strategy (Python Code Included)
Today, we backtest a GBPUSD forex strategy.
GBP/USD is one of the world’s most actively traded currency pairs - but does it offer a reliable edge?
We tested a simple strategy to find out.
GBPUSD Forex Strategy
The trading rules are at the bottom of the article.
We backtested the strategy using the ticker symbol “GBPUSD=X” on Yahoo Finance.
When we apply the trading rules to the dataset, we get the following equity curve:
Strategy type: Mean-Reversion.
Market: “GBPUSD=X” on Yahoo Finance.
Performance
No. of trades: 315
Average gain per trade: 1.4%
Win ratio: 66%
Profit factor: 3
Annual returns (CAGR): 5%
Exposure/time in the market: 32%
Risk-adjusted return: 15% (CAGR divided by time spent in the market (0.32))
Max drawdown: 17%
Trading Rules
We used the following trading rules for this backtest:
