Opening Gap Currencies Strategy

Investment Summary
The Opening Gap Strategy buys when instrument gaps up and shorts when it gaps down aiming at capturing the momentum in intraday time frame. The strategy is applied to futures and currencies.

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Investment Performance
Investment Return (?):7.20%Volatility (?):6.5%Sharpe Ratio:1.35Maximum Drawdown:-7.50%
Investment’s Fundamental Concept:
Opening Gap strategy buys when instrument gaps up and shorts when it gaps down aiming at capturing the momentum in intraday time frame. The strategy works on futures and currencies. The GBPUSD is used to create an opening gap strategy.
Investment’s Logic:
Opening Gap strategy buys when instrument gaps up and shorts when it gaps down aiming at capturing the momentum in intraday time frame. The strategy works on futures and currencies. The GBPUSD is used to create an opening gap strategy.

The daily close of currencies is defined as 5:00 PM ET and the open is defined as 5:00 AM ET.

Other Investment Strategy Characteristics:
Investment Type:Momentum StrategyInvestment Risk:1/5 Very LowBacktest Range:30-40 yearsRebalancing period:Daily
Investment Strategy Markets:
  • GBPUSD

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