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Thank you very much for the reply Kevin. If you don't mind me asking; do you use both trend-following and mean reversion techniques with your synthetics? And does this stuff work on lower timeframes?

The idea is that if you create a synthetic currency by buying or selling various portions of other currencies, to create a synthetic that matches the characteristics of your trading system better than any one currency could. For example if you have a mean reversion trading system, you create a...