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The research findings reveal the potential profitability of the trading strategy across diverse market conditions. The strategy demonstrates an average annual profit of around 25%, accompanied by a drawdown of approximately 8%, and an impressive win rate of about 80%. Nevertheless, it is important to note that these results may vary based on the specific operational parameters and the choice of financial instruments employed. The study's empirical analysis involved the testing of the strategy using currency pairs, with a primary focus on EURUSD.
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Malathong et al. (2024) studied this question.
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