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Strategies & Market Trends : Trading futures based on intermarket trends
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To: Murray Grummitt who wrote (67)3/25/2002 11:26:32 AM
From: fut_trade   of 73
 
Here's an example:

Data set includes the SP futures from 1993 to present.

Set-up: go long at yesterday's high with a 2% stop
One round-turn trade of an (emini size) contract costs $6.

This yielded 1058 trades with a 50% win percentage and an average loss per trade of $8.

If interest rates fell yesterday, this same set-up yielded 503 trades with a 52% win percentage and an average gain per trade of $4.

If interest rates increased yesterday, this same set-up yielded 450 trades with a 50% win percentage and an average loss per trade of $26.

If interest rates were unchanged yesterday, this same set-up yielded 105 trades with a 48% win percentage and an average gain per trade of $1.

Clearly, this is not a great set-up for trading, but it gives the typical result - trading on the long side is aided by a fall in interest rates the previous day.
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