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This project aims to use CCI to forecast the overbuy and oversell situations for those most liquid currency Pairs
CCI is deemed to fluctruate between 100 and -100. There are rare cases in which the CCI moves beyond these boundaries. Hence the periods in which abs(CCI)>100 are considered to be intermittent.
Based on my research during my 2-month research project during 2012 summer, the croston's method is the most straight forward and best strategy to forecast a intermittent pattern.
The chart below is the backtested Pnl for this trading strategy.