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Trend Trading Stock Index or Currency Futures?
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Created: by Jeff65 Attachments:2

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Trend Trading Stock Index or Currency Futures?

  #11 (permalink)
 Vendor: www.systemtradersuccess.com 
Gurnee, IL
 
Futures Experience: Advanced
Platform: TradeStation
Broker/Data: TradeStation
Favorite Futures: Futures
 
Posts: 46 since Apr 2010
Thanks: 17 given, 92 received


turbo516 View Post
Hi Jeff,

Very interesting study! I been debating myself lately which instrument is best for momentum/trend trading and your study is confirming what I'm seeing.

If its not too much of a hassle, I'm curious to know how your results would change if you use intraday timeframe (like 1hr) instead of daily bars. I only like to trade during RTH and don't want to hold positions overnight. Also, can you include /6B (GBP futures) since its a popular instrument?

Thanks!

OK. I used 60 minute bars that take into account the U.S. cash session only (800 - 1500 Central). Buy if price is above a 200 period moving average. Close order at end of the day. Only trade once per day. Longs only.

This was done quick N dirty as I just realized orders are entered at the close of the first hour. Forgot to change that! Anyway, still think we get the gist of the study.

Here are the numbers.

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Intray day trading
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11//28/2005 - 11/30/2010

Again EC is king and BP is second.

Hope this helps!

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  #12 (permalink)
Elite Member
Bala, PA, USA
 
Futures Experience: Intermediate
Platform: NinjaTrader
Broker/Data: Mirus, IB
Favorite Futures: SPY, Oil, Euro
 
monpere's Avatar
 
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Jeff65 View Post
OK. I used 60 minute bars that take into account the U.S. cash session only (800 - 1500 Central). Buy if price is above a 200 period moving average. Close order at end of the day. Only trade once per day. Longs only.

This was done quick N dirty as I just realized orders are entered at the close of the first hour. Forgot to change that! Anyway, still think we get the gist of the study.

Here are the numbers.

Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).


Intray day trading
No Slippage, No Commissions
11//28/2005 - 11/30/2010

Again EC is king and BP is second.

Hope this helps!

What is EC, BP? Are these currencies? I assume BP is Brittish Pound? What is EC? Each broker uses different symbols for these.

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  #13 (permalink)
Sharpening mental edge
the congo
 
Futures Experience: Advanced
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monpere View Post
What is EC, BP? Are these currencies? I assume BP is Brittish Pound? What is EC? Each broker uses different symbols for these.

Euro.

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  #14 (permalink)
 Vendor: www.systemtradersuccess.com 
Gurnee, IL
 
Futures Experience: Advanced
Platform: TradeStation
Broker/Data: TradeStation
Favorite Futures: Futures
 
Posts: 46 since Apr 2010
Thanks: 17 given, 92 received


rassi View Post
Euro.

Sorry for not being clear.

EC = Euro
JY = Japanese Yen
BP = British Pound
SF = Swiss Franc

YM = Mini DOW
ES = Mini S&P
NQ = Mini NASDAQ

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The following user says Thank You to Jeff65 for this post:
 
  #15 (permalink)
Elite Member
New York, NY
 
Futures Experience: Intermediate
Platform: Ninjatrader
Broker/Data: Mirus Futures/Zen-Fire
 
Posts: 45 since Jul 2010
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Jeff65 View Post
OK. I used 60 minute bars that take into account the U.S. cash session only (800 - 1500 Central). Buy if price is above a 200 period moving average. Close order at end of the day. Only trade once per day. Longs only.

This was done quick N dirty as I just realized orders are entered at the close of the first hour. Forgot to change that! Anyway, still think we get the gist of the study.

Here are the numbers.

Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).


Intray day trading
No Slippage, No Commissions
11//28/2005 - 11/30/2010

Again EC is king and BP is second.

Hope this helps!

Hi Jeff,

Thanks for the study!

Just realized that maybe 1hour timeframe is too long for cash session only study and the currency futures US cash session is 7:20AM-2:00PM Central Time although I doubt both of these will change the results. Also, do you think the trend will be better define by using a simple strategy of MA crossovers (i.e. 50MA/200MA crossover)?

Now that we determine currency is better for trend trading.....to expand on this study, we can compare Europe session (2AM-7:20AM Central) vs US session (7:20AM-2:00PM Central) to determine which time the best trends occur on an intraday basis, ignoring obviously the overlap in sessions.

Thanks for your contribution!

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