Here’s a little exercise using the Delta Bands and FXC, the Canadian Dollar. I’m testing the robustness of the system on a variety of securities and this is about par for the course. Similar results for EEM and TLT plus a gaggle of others. There’s more noise on the dollar and euro (UUP & FXE) returns but the cycles are still apparent. The Equity curve of virtually all tests look remarkably the same. These are daily bar studies and it would be interesting to see if the performance numbers hold up over shorter time frames such as 65 or 130 minute bars.
