NAT-FRO

Signals are generated using the GGR (Gatev-Goetzmann-Rouwenhorst) cointegration method. The approach identifies pairs with historically stable spread relationships and generates trade signals when the spread deviates by more than 2 standard deviations from the mean.

How it works:

1. 1. A 12-month formation period establishes the normal spread distribution
2. 2. Trade signals trigger when the spread exceeds ±2σ from the mean
3. 3. Positions close when the spread reverts to the mean or after 20 days

For full methodology and backtest results, read the research post.