Comments on: Testing A Euro Currency Futures Scalping Strategy, Part 2

By: Jeff Swanson

Jeff Swanson — Wed, 02 Nov 2016 14:45:24 +0000

In reply to Matt haines. Not yet! But I'm revising this series very soon and will test it on the OOS.

By: Matt haines

Matt haines — Sun, 29 Mar 2015 17:42:05 +0000

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. 🙂

By: Jeff Swanson

Jeff Swanson — Wed, 15 Jan 2014 23:28:41 +0000

In reply to varun. 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.

By: varun

varun — Wed, 15 Jan 2014 21:02:11 +0000

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?

By: BlueHorseshoe

BlueHorseshoe — Mon, 13 Jan 2014 12:18:56 +0000

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.