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Showing results for tags 'stock index futures'.
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This is a little study I did back in January of 2010 when I was interested in demonstrating which popular futures markets exhibit more trending behavior. To do this I devised a simple trend following strategy that consisted of a single 50-period simple moving average on a daily chart. The system only takes long signals. It enters a new trade when price crosses above the moving average and closes that position when a daily bar closes below the MA. I'm not attempting to create a trading system per say, but creating indicator that measures a market's trending characteristics. The rules are below: Because this is a trend following system, it should perform better on markets that exhibit trending behavior. I tested this system on some popular stock index futures markets and currency futures markets. The chart below is organized from left to right with the best producing market. Notice which markets are grouped to the left and which markets are grouped to the right. 2000 - 2009 Daily Bars – No Commissions – No Slippage I think this provides some evidence that the stock index markets do not have nearly the trending characteristics of the currency futures markets. More specifically, the Euro really shines as a trending market. I know from personal experience that I generate consistently better results when I trade my trend following strategies on the Euro currency futures as apposed to S&P Emini. In fact, I no longer trade S&P Emini with my trend following setups. If you have a trend following system and trade the stock index markets maybe you will want to take a look at the currency futures.
