Testing A Euro Currency Futures Scalping Strategy, Part 2

About the Author Jeff Swanson

Jeff is the founder of System Trader Success - a website and mission to empowering the retail trader with the proper knowledge and tools to become a profitable trader the world of quantitative/automated trading.

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  • BlueHorseshoe says:

    Nice to see a nod to Bryant’s stop loss methods – they’re often great for trend-following approaches, and pretty much any stop-loss method has a negative impact on the performance for mean reversion strategies – so I don’t think there failure to improve performance with this particular strategy discounts their value in any way.

    I’m not familiar with the WFO feature in TS (for good reason), so it will be interesting to follow the next article in this series.

  • varun says:

    Hi, I had a question. When u say 1%. Say euro is today trading at 1.3516 and MA 200 is also 1.3516. 1% below 1.3516 would be 1.338, so you are waiting for the close to go almost 200 pips below the moving average. Isn’t that waiting for like almost 2 days considering eurusd moves about 100 pips on an average?

    • Keep in mind the trading system is looking for extreme moves beyond the 200-sma which is calculated using the 5-minute bar. Thus if the SMA is at 1.3516, a 1% move below the SMA would be about 135 ticks. The Euro can easily moves 300+ ticks in one hour.

  • Hi Jeff! I realize this is an old article but just thought I’d inquire about in-sample vs out-of-sample testing. Did you happen to test the time frame results with IS vs OOS data? I only ask because sometimes timeframe filters like this can appear to have an effect, only to dissipate over the longer haul. I’ve learned the hard way through personal experience. 🙂

    • Not yet! But I’m revising this series very soon and will test it on the OOS.

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