Hi all, first up - I have been a reader of this website over the years, and enjoy the content...so thanks" No sure if this should be posted here or in FX trading but - I have traded FX over the last 10 years or so, and over the last few years have developed a basic model or methodology based on using multiple trend following models to determine how I should position in a particular currency pair. ie for the AUDUSD cross, one such model is BHP with a 100dma, being long AUDUSD when BHP is above its 100dma, and vice versa. I run 20+ such models on this cross (using rates, commodities, equities, other currencies, vols as inputs). At this stage each model produces a long/short signal, then the aggregate provides the overall position. Its all relatively straight forward. I tend to stick to relationships that I think that make sense in terms of the currency markets, rather then getting any old security and see if it works. Has anyone used a similar strategy / trendfollowing on correlated markets? Any advice / feedback would be appreciated. Thanks
Does pairs trading still work? I was thinking it worked for some people only sometimes back in the 90ies.