Testing A Euro Currency Futures Scalping Strategy, Part 3

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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  • John says:

    Jeff, this is just a note of encouragement, your work is very much appreciated and I look forward to receiving your emails. Well done and thank you, great work as usual on this system.

  • Jonathan says:

    Jeff,
    Thanks for sharing your volatility filtering approach.

    Im looking forward to the follow up to this idea.

  • BlueHorseshoe says:

    I wonder what would happen if you broke down “volatility” (a vague concept at best) further, and considered “directional volatility” and “non-directional volatility”?

    Supposing that a market usually moves 10 ticks per day, and then suddenly it is moving 100 ticks per day. We’d say it has become much more volatile. But if the price change consists of a series of 100 tick consecutive up days, then that is a very different environment than if it consists of 100 tick up days that are each followed by a 100 tick down day.

    Interesting to see this strategy develop, and I look forward to the next installment!

    • Interesting idea BlueHorseshoe. I’ve never tested that on this strategy. If I get some more time, I’ll give it a shot.

  • Mike says:

    Hi Jeff – as always, very nice article! Keep up the good work!

    Am a big fan of scalping strategies and I do run couple of them. However, one thing I learned about them is, that you simply must not run them during news releases. Because you trade 11-23 central, you eliminated most of them but not all of them! For example FED rate decisions are released at 1pm central. Simply check the date & time of the top 5 looser on forexfactory.com/calendar. They have data all the way back to 1jan2007. I would bet that at least 4 of them do coincide with some news releases.

    The next step would be to backtest the strategy with a news filter. If the average holding period is 5mins, simply avoid trading 15mins before & after the news to be on the safe side.

    Curious to hear you findings!

    Regards,

    Mike

    • Thanks Mike that’s another good idea. So far, I’ve never tested a news based filter.

  • Sevensa says:

    The results definitely looks promising. My only concern would be that if I interpret the results correctly, that the latest version look to be generating about 170 trades over an almost 10 year period. That works out to be about 17 trades a year, which is about 1.5 trades a month. Can this still be called a scalping system then? 🙂

    • Sevensa, the word “scalping” is referring to the profit target which is only a few ticks – not the frequency of trading. This would be a low frequency scalping system. Thanks for writing!

  • Jerome says:

    Hi Jeff,

    Thank you for this valuable work.

    Regards,

    Jerome

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