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Monthy EURUSD Strategy (since 1989)

  • #1
  • First Post: Edited Jul 19, 2008 9:32pm Jul 13, 2008 2:22am | Edited Jul 19, 2008 9:32pm
16,000 pips over the past 20 years...

i'm feeling generous tonight, so i'll give out a strategy i noticed for a trend w/ the EURUSD.

on the first day of the month, if the previous month's close is lower than it opened, sell.
on the first day of the month, if the previous month's close is higher than it opened, buy.
close the trade at the end of the month.
1000 pip stop

it is remarkably linear (raw pips shown in the graph) but i don't have any evidence that it is more than mere coincidence (only 230 trades).... and could stop producing at any time.

do with it what you will.... enjoy
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  • #2
  • Jul 13, 2008 2:47am Jul 13, 2008 2:47am
I might be missing something here, but 16,000 raw pips since 1989? Surely the Euro didn't exist even as an accounting currency until 10 years after this?

Andy
  • #3
  • Jul 13, 2008 3:00am Jul 13, 2008 3:00am
Excellent point!

The graph was generated using Alpari's D1 data (which goes back to 1989....) prior to the Euro's inception (1999 I think) the data is the collection of countries that composed the Euro when it was introduced.... at least that is what I read.
  • #4
  • Jul 13, 2008 5:32am Jul 13, 2008 5:32am
I thought that might be the case, but I'm not sure that an amalgamation of former currencies which make up the Euro would work particularly well.

Having said that, on monthly data the wide intraday swings, which may be missed by amalgamating data, are probably not that relevant.

Andy
  • #5
  • Jul 13, 2008 1:33pm Jul 13, 2008 1:33pm
Quoting tdion
i'm feeling generous tonight, so i'll give out a strategy i noticed for a trend w/ the EURUSD.

on the first day of the month, if the previous month's close is lower than it opened, sell.
on the first day of the month, if the previous month's close is higher than it opened, buy.
close the trade at the end of the month.
1000 pip stop

it is remarkably linear (raw pips shown in the graph) but i don't have any evidence that it is more than mere coincidence (only 230 trades).... and could stop producing at any time.

do with it what you will.... enjoy
even if this would continue to work, how much are you willing to risk for a 1000 pip stop? .01 lots? if that were the case, since 1989 you would have earned $160.00 which equates to $.000961 or there abouts/ hour for your time trading this method.

hmmmmmmm
"Keep your eyes on the helpers" - Mr. Rogers
  • #6
  • Jul 13, 2008 1:37pm Jul 13, 2008 1:37pm
it's a raw idea at the moment.... not practical in its current form....

play w/ SL and TPs.... play w/ everything you can think of.... use it as a filter....



if nothing else, it's kinda refreshing to see something so simple be so effective (or lucky)
  • #7
  • Jul 13, 2008 4:33pm Jul 13, 2008 4:33pm
Hehe, just goes to proof the effects of trend persistency on the monthly charts. They are remarkably smooth.

Tweak idea... put your entry order above or below the last monthly bar and put an SL of about 100 pips. If you get stopped out just put another entry at the new high/low to catch a reversal. Instead of closing trades every month, close part of the trade and move the remainder to break-even, say an 80/20 split (close 80%, leave 20% running from BE). Repeat month after month, scaling into a larger holding up until a max risk level (altho with SLs set to BE risk will negligible). Naturally you'd never let a losing trade run, kill it if it's not already dead by the end of the month.

At that point you only need a defined way of finding monthly trends. I suspect an X bar high/low would work, say when a bar makes a new 10 month high/low on close.
  • #8
  • Aug 17, 2008 2:10am Aug 17, 2008 2:10am
i added a trailing stop to this method.... actually the only trailing stop i've put onto anything i've created....

just caught that huge 1000+ pip move this month....

WHOOWHO! (homer simpson voice)
  • #9
  • Aug 17, 2008 5:03am Aug 17, 2008 5:03am
Quoting tdion
i added a trailing stop to this method.... actually the only trailing stop i've put onto anything i've created....

just caught that huge 1000+ pip move this month....

WHOOWHO! (homer simpson voice)
Yeah but...how much was your risk?
"Keep your eyes on the helpers" - Mr. Rogers
  • #10
  • Aug 17, 2008 5:04am Aug 17, 2008 5:04am
Have you pursued this any farther?



Quoting Rabid
Hehe, just goes to proof the effects of trend persistency on the monthly charts. They are remarkably smooth.

Tweak idea... put your entry order above or below the last monthly bar and put an SL of about 100 pips. If you get stopped out just put another entry at the new high/low to catch a reversal. Instead of closing trades every month, close part of the trade and move the remainder to break-even, say an 80/20 split (close 80%, leave 20% running from BE). Repeat month after month, scaling into a larger holding up until a max risk level (altho with SLs set to BE risk will negligible). Naturally you'd never let a losing trade run, kill it if it's not already dead by the end of the month.

At that point you only need a defined way of finding monthly trends. I suspect an X bar high/low would work, say when a bar makes a new 10 month high/low on close.
"Keep your eyes on the helpers" - Mr. Rogers
  • #11
  • Aug 17, 2008 11:39am Aug 17, 2008 11:39am
the trailing stop is 275..... it follows the price down (pip for pip).... the TP is 850.....
  • #12
  • Aug 18, 2008 4:34am Aug 18, 2008 4:34am
Quoting Andy B
I thought that might be the case, but I'm not sure that an amalgamation of former currencies which make up the Euro would work particularly well.

Having said that, on monthly data the wide intraday swings, which may be missed by amalgamating data, are probably not that relevant.

Andy
Its based on the European Currency Unit

http://en.wikipedia.org/wiki/European_Currency_Unit
In trading you are only as smart as your dumbest mistake. - Ralph Vince
  • #13
  • Sep 3, 2008 1:52am Sep 3, 2008 1:52am
How about for the month of Mac 08?
Live trade ~ GBPUSD only. No chart! Follow at your own risk!
  • #14
  • Sep 4, 2008 12:11am Sep 4, 2008 12:11am
i plan to check it again in 6 months..... combined with the 18/16 yen system..... a "forward" test.... futile to check each month.... only a trade or two.
  • #15
  • Edited 11:12pm Nov 1, 2008 7:23pm | Edited 11:12pm
Another installment

I always come back to this strategy because of its concistency....

I am leaning towards a Peter Crowns approach (not filtering on the daily open as he does, but rather monthly).....

Not to actually trade this system, but to use it as a filter...

Based on your own entry criteria, go long only when the price is above the current month's opening, and short when it is below it. Only take longs when the previous month's open is lower than the current month's open.... and vice versa for shorts.

The reason this is a valid filter IMHO is that the NFP has historically given a bias each month, and it looks very good in hindsight back to 1989. The total for this system (by itself) is now up to 17,000+ pips since 89.

The bottom line: using this system as a filter, your longs and shorts would have been trading into a 17,000 green pip bias. It's the standard BS... trade into the trend.
  • #16
  • Nov 1, 2008 10:19pm Nov 1, 2008 10:19pm
Quoting tdion
Another installment

I always come back to this strategy because of its consistency....

I am leaning towards a Peter Crowns approach (not filtering on the daily open as he does, but rather monthly).....

Not to actually trade this system, but to use it as a filter...

Based on your own entry criteria, go long only when the price is above the current month's opening, and short when it is below it. Only take longs when the previous month's open is lower than the current month's open.... and vice versa for shorts.

The reason this is a valid filter IMHO is that the NFP has historically given a bias each month, and it looks very good in hindsight back to 1989. The total for this system (by...
What happened to your journal Tdion? I was looking forward to your live trading and updates in there. Fingers still crossed for when you start, not much interesting to read on FF recently.

Leon
Living the adventure in my head.
  • #17
  • Nov 1, 2008 10:38pm Nov 1, 2008 10:38pm
Well I had a flood in my house and had to spend a lot of time fixing stuff.

You haven't missed anything though.... There haven't been any trades in months with my system.... the volatility is too high.
  • #18
  • Nov 1, 2008 10:45pm Nov 1, 2008 10:45pm
Tdion,

This GBP/USD Monthly...

Oct Open 1.7828, close 1.6072

SHort or Long for MOnday??


Quote
on the first day of the month, if the previous month's close is lower than it opened, sell.
on the first day of the month, if the previous month's close is higher than it opened, buy.
close the trade at the end of the month.
1000 pip stop

if the previous month's close(which is 1.6072) is lower than it opened( u mean 1.7020 or Nov open price?) , sell.


Sonic
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  • #19
  • Nov 1, 2008 11:08pm Nov 1, 2008 11:08pm
It would be short because the previous month's candle is down.

This is the simplest trading system on the planet.
  • #20
  • Nov 1, 2008 11:11pm Nov 1, 2008 11:11pm
Quoting tdion
It would be short because the previous month's candle is down.

This is the simplest trading system on the planet.
Short on the opening or wait til it reach back last month's low (1.5255? )

Sonic
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