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Strategies & Market Trends : Trading futures based on intermarket trends -- Ignore unavailable to you. Want to Upgrade?

To: Murray Grummitt who wrote (67)	3/25/2002 11:11:04 AM
From: fut_trade	Respond to of 73

Your data set doesn't have enough points to make statistical significance. I would like to have 50 or more trades to judge whether or not a correlation is significant. I have tried a variety of set-ups yielding 20 to 400 trades per set-up, and for the majority of them I get the same result: The average net gain for a (long) set-up is significantly greater (say 30% greater return) when interest rates fell the previous day. Also, the average net gain for a (long) set-up is significantly greater (say 15% greater return) when the dollar index increased the previous day.

To: Murray Grummitt who wrote (67)	3/25/2002 11:26:32 AM
From: fut_trade	Respond to 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.