A freind that worked on the FX desk at Lehman (before the Credit colapse ) said that the FX desk traders there often used a simple strategy to trade spot and forwards in FX for the Banks book:
extern double Level;
double Price = (bid + ask) / 2
If Price < Level, sell short
If Price > Level, buy long
Only 1 position at a time allowed. Profits taken manually or on target or trailing stop.
Level can be reset manually after a trade is closed.
Reversing on the Level provided the traders to use some discretion as to when to exit. They would try to close in a decent profit area on a trailing stop. The traders use the algo when they felt the market was in a place where it would advance or retreat and not return to the same Level. Thier goal was to keep execution costs as low as possible while still allowing for price to swing through the level until it trended..........Maybe you could code this for an ECN book where the spread in EURUSD is 1pip or so........