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We propose a strategy for automated trading, outline theoreticaljustification of the profitability of this strategy and overview thehypothetical results in application to currency pairs trading. The proposedmethodology relies on the assumption that processes reflecting the dynamics ofcurrency exchange rates are in a certain sense similar to the class ofOrnstein-Uhlenbeck processes and exhibits the mean reverting property. In orderto describe the quantitative characteristics of the projected return of thestrategy, we derive the explicit expression for the running maximum of theOrnstein-Uhlenbeck process stopped at maximum drawdown and look at thecorrespondence between derived characteristics and the observed ones.

Analysis of Ornstein-Uhlenbeck process stopped at maximum drawdown and application to trading strategies with trailing stops