  We propose a strategy for automated trading, outline theoretical
justification of the profitability of this strategy and overview the
hypothetical results in application to currency pairs trading. The proposed
methodology relies on the assumption that processes reflecting the dynamics of
currency exchange rates are in a certain sense similar to the class of
Ornstein-Uhlenbeck processes and exhibits the mean reverting property. In order
to describe the quantitative characteristics of the projected return of the
strategy, we derive the explicit expression for the running maximum of the
Ornstein-Uhlenbeck process stopped at maximum drawdown and look at the
correspondence between derived characteristics and the observed ones.
