Going long and short the GBP/USD from 2006 to 2011 generated the following results for a series of buy and sell rules:
So the best strategy is ADSoc – accumulation, distribution oscillator. This is a study that measures the buying and selling pressures on an instrument based solely on the relationships of the open, high, low close.
Settings used were exponential, period = 10, overbought is 70 and oversold is 30.
Rules were: cover and go long when oscillator crosses above signal. And close and go short when the oscillator crosses below the signal.
Note: there are more losing than winning trades but the average win is double the average loss. The max draw down is very limited. Sharpe ratio is very acceptable.