In this video, we discuss two strategies that have performed very well on currency futures and together have generated a profit of $40,000 from the out-of-sample date.

The first is a trend-following strategy on the Japanese Yen. It’s part of the Million Dollar Database and was developed by one of our students in 2018.

The second is a reversal strategy on the Euro-Dollar. It’s part of the Unger Personal Database and uses Bollinger Bands as entry triggers.

Want to learn more?

Then watch the video now! You’ll discover:
-How the two strategies work
-What rules they use
-All the details about their performances

Enjoy 😎

Transcription

Introduction

Hello and welcome back!

Today, as usual, we will be evaluating the strategies in our portfolio that have shown the best performance in the recent period.

I'm one of the coaches at Unger Academy, where we develop automated strategies to trade major futures markets like gold, stock indexes, and much more.

However, today we will be looking at two strategies that have recently performed well in the currency market.

In particular, we will examine a strategy on the Japanese Yen and a second one on the Euro.

As always, we will be using Chicago Mercantile Exchange futures, where all currencies are paired with dollars.

Here, we have two strategies that have indeed delivered good results for our portfolio in the recent period.

The first one is on the Japanese Yen, and the second one below on the Euro.

The Japanese Yen strategy is part of the Million Dollar Database, which is the basket created by Unger Academy, containing the best strategies developed by our students.

On the other hand, the Euro strategy is part of Andrea Unger's Personal Database.

Strategy on the Japanese Yen

Now, let's look at the rules of these two strategies, starting with the one on the Japanese Yen.

We can see that it has certainly had a good moment.

Towards the end of September and early October, it executed an excellent short trade valued at around $1,200.

We've already factored in the commission costs and slippage that we might incur when trading live in this market.

Specifically, we've included $20 for commissions and slippage for each trade.

So each trade is already weighed down by the commission costs and slippage.

After this successful trade, there was a series of somewhat unlucky trades.

At this point, the market had started to move in an irregular manner.

You can see this spike, quickly retraced in a short time, probably due to a release, and the system didn't react too well during this phase.

The strategy is based on a trend-following approach and places orders at the period highs or lows.

Clearly, it attempts long trades at the highs and short trades at the lows.

Let's look at the report for this strategy, which has been out of sample since early 2020, when it was developed.

And from that point onward, the strategy has been working in the real markets without any further adjustments.

We can say that 2020 more or less began in this phase here.

You can see that the strategy has brought significant benefits even in the post-development period.

It continued to perform in line with what we’ve seen in the in-sample period, that is, before the development date, and this certainly bodes well for the future.

Strategy on the Euro-Dollar Future

Now, let's move on to the next strategy, the one on the Euro-dollar future.

In this case, the strategy is based on a reversal approach and uses Bollinger Bands as entry triggers.

Specifically, we go long on the break of the lower band and we go short on the break of the upper band.

In this case as well, the most recent trades of the strategy have been closed in profit.

This short trade was closed with a profit of $210, and this nice long trade, closed at the end of the day, resulted in a profit of over $1,000.

In this case as well, we've factored in the commission costs and slippage we might incur when trading live in this market.

These costs are the same as those set for the strategy shown earlier, which is $20.

Let's look at the report for this strategy; it's an interesting report that I want to show you.

You can see that this system was developed at the end of 2017, so roughly at this point here.

Although it initially showed signs of strength, it experienced an extended period of drawdown, but from 2021 onwards, it has finally brought us to achieve the equity peaks for this strategy.

In this case we have a strategy that was programmed sensibly but did not work too well in a specific market phase.

Nevertheless, the strategy was originally developed in a correct way.

And indeed, as soon as the market resumed to respond favorably to this type of logic, the strategy was able to take advantage of it.

The average trade for this system is $149 in 576 trades.

Conclusion

These two strategies, taken together, managed to bring in a total of $40,000 during the out-of-sample period, starting from 2018 for the Euro-dollar strategy and from 2020 for the Japanese Yen strategy.

This shows that despite their low volatility, currency futures can also be used for systematic trading successfully.

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