In the October Futures feature, "Learning to trade: It’s academic," 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 the four-hour girth model first described in the December 2008 issue of Futures and is applied to the euro currency.
The fund closed two trades last week and has an open long position from 1.4883. Trade #1 was a short that lost 132.6 pips. Trade #2 was a long position that netted 4.8 ticks. Overall it dropped 2.56% for the week. The trading simulation began on Sept. 6 and is up 7.46% since inception, an annualized return of 43.1%.
We will provide updates on the Flyer Forex Fund every week.