In the October Futures feature, Leslie McNew and Tup Ingram described a trading strategy that McNew’s students at the University of Dayton Business School would be implementing in a simulation. The strategy is based on first described in the December 2008 issue of Futures and is applied to the euro currency.
The trading simulation began on Sept. 6 and is up 8.2% since inception, an annualized return of 58%. The fund closed no positions in the last week and has an open position short 100,000 EUR/USD from 1.4857. Its floating P/L is plus 51 pips as of Tuesday morning.
We will provide updates on the Flyer Forex Fund every week.