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 model had an extremely challenging week as continued dollar weakness coupled with efforts by governmental officials to allay global fears over the dollar led to several whipsaws in the USD/EUR pair. The model closed its open short from the previous week at a loss and opened four positions: two longs and two shorts that were all closed out for losses. It has no open positions going into this week. The model lost more than 9% on the week and moved into negative territory. It is now down 2.02% since its September launch.
Last week’s trades:
Closed Trade: Short at 1.48632, closed at 1.49609. Net loss of -97.7 pips.
Closed Trade: Long at 1.49915, closed at 1.48961. Net loss of -95.4 pips.
Closed Trade: Short at 1.48385, closed at 1.49594. Net loss of -120.9 pips.
Closed Trade: Long at 1.49535, closed at 1.48571. Net loss of -96.4 pips.
Closed Trade: Short at 1.48590, closed at 1.49190. Net Loss of -60 pips.
