Mean-Reversion (MR)

This model takes a contrarian view on long-term trends, which are moving to extremes. It takes into account the volatility structure (i.e. the length and depth of price waves) of the crosses screened and uses these to estimate an optimal holding period of 5, 10 or 15 trading days. Signals are relatively rare and the model operates without stops. Eventual stops are generated by discretion, taking into account the classical technical levels (especially highs and lows). The target for the signal is dependant of the suggested holding period.