fx_mean_reversion_ppp
Rogoff (1996) JEL / Cassel (1918) — PPP-based long-run mean reversion, half-life 3-5 years
Rolling Sharpe
—
90-day rolling window
Drawdown
—
peak-to-trough
Win Rate
—
0 fires · weight 0.00×
Current Status
State
Ensemble Weight—
Fires (90d)0
Last fired—
Methodology
Rogoff (1996) JEL / Cassel (1918) — PPP-based long-run mean reversion, half-life 3-5 years
Supported Markets
FX
State Transition History
No state changes recorded yet