CME FX Futures

February 27th, 2011, 09:55 PM

This journal will post trades from a base strategy that was optimized based on Max Profit Factor and tested for best days of the week to trade over a one year history. All of the CME FX instruments are part of the strategy. Trading times are from 7:20 AM to 2:00 PM CST in accordance with CME FX Futures RTH.

Trades will close upon one of the following actions: hit daily stop; hit daily profit; or end of session. For the sake of accuracy with respect to backtests, data series for all instruments employ only minute bars. All trades are simulated in realtime with market orders for entry and stop orders for exits. Charts of all trades will be posted sans indicators to deter attempts to reverse engineer the strategy (sorry Harry).

February 28th, 2011, 10:53 PM

Listed below are the days each instrument is traded in accordance with Max Profit Factor analysis.

Also attached is the data series for each instrument and session template for the system (kudos to @ fluxsmith for the logic based on his Nymex Energy RTH/ETH) .

6A: Tuesday and Thursday
6B: Friday
6C: Wednesday
6E: Tuesday, Wednesday, Thursday, and Friday
6J: Monday, Thursday, and Friday
6M: Thursday and Friday
6S: Tuesday and Thursday

This strategy may be robust, in that it succeeds with other instrument categories such as grains, indexes, and metals in similar data series. I plan to test this theory and report back next week.

March 1st, 2011, 10:09 PM

Attached are today's charts with marked trades.

Daily Profit/(Loss): ($342.50)

March 2nd, 2011, 07:17 PM

One trade taken by the strategy today in 6E for a $500 profit.

March 3rd, 2011, 09:50 PM

One trade taken today in 6A for a $10.00 loss.

CME FX Futures

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CME FX Futures