Forex Pairs Trading in QuantTrader

[StefanM]

Hi all

Is it possible to use/program QT in order to identify when one should say, go long (or short) GBPUSD?

For UK account holders investing in USD denominated ETFs (such as LI’s), the depreciation in GBPUSD because of Brexit has been profitable, however there will come a time when GBP strengthens against USD and FX losses on those USD assets materialise.

In this scenario, it would be very helpful to have a quant approach to deciding when it might be best to liquidate USD assets and move into GBP assets. This would mean attempting to identify GBPUSD medium term highs and lows (say 2-3 year timescales) to catch the true highs and lows rather than short term ones.

The theory being that it when GBP is appreciating, owning SP500 and NASDAQ GBP-hedged ETFs could be profitable, exiting when the GBPUSD has reached a peak and then moving back into LI (i.e. pure unhedged USD) strategies. This sort of assumes that one can improve on remaining in LI’s USD strategies when ones home currency (in my case GBP) is appreciating – something I have not tested.

If QT could be used for timing FX, would the existing momentum based algo be used or some of the following algo approaches, for example:
– trend-following using technical indicators
– mean reversion
– news based
– sentiment based (e.g. commitment of traders)

Thanks

[Frank Grossmann]

It is quite simple to test forex strategies in Quanttrader. You just need to use Yahoo to download the historical data and then you can use all forex pairs like EURUSD=X. You can see all pairs in Yahoo finance.
It is however not simple to get good results with forex pairs as these pairs are heavily influenced by national bank politics which makes their moves a lot of times quite unpredictable.

[Author]

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