on a side note, when you backtest forex do you account for the rollover swap rates? For example if you are long $10k of USDMXN you get debited about $2.00 or if you are short USDCHF you get debited about $1.00. For this reason I prefer to backtest on backadjusted CME currency futures where it is all built-in
Why do you want to trade every currency? Why not just use the strategy on the ones it works best on and toss out the rest.
Because unless I understand WHY it isn't working, I wouldn't trust it. Based on the distribution transformation, I have some idea as to why but I'm not sure if it is overfitting to apply that transform only for the funky distributions.
Perfect. I found an edge last year. Although.. Not the first time returns have been here, it looks like the MACHINE LEARNING ALGOS have found the same edge.
Holy edge you need is Hong Kong Dollar is about to poppppp! HK CB might defend one or two more times, but it's clear they are out of US Dollars, can't defend much more, they have raised Interbank rates quite drastically which will collapse their banking system, just to attract few extra US Dollars... Might have missed the boat on it, but worth pointing out
I'm still trying to figure out what the correlation there would be. Will look into volatility, that's the only thing I can think of.
Returns are more stable if you include specific currencies, from this lens, doesn't look too far from the norm.